International Portfolio Choice with Frictions: Evidence from Mutual Funds
利用美国共同基金的国际股票组合数据，估计了包含摩擦的标准均值-方差模型，发现摩擦导致组合对预期收益变化的反应更弱、更缓慢，并得出适度的风险厌恶水平。
Abstract Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected excess returns. We estimate expected return differentials and use them in the portfolio regressions. The estimates imply significant portfolio frictions and a modest rate of risk aversion. While mutual fund portfolios significantly respond to expected returns, portfolio frictions lead to a weaker and a more gradual portfolio response to changes in expected returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.