Private Information, Human Capital, and Optimal “Home Bias” in Financial Markets
研究了在信息不完全但可最优获取私人信息的市场中，投资者为何偏好本国资产（本土偏好），以及人力资本如何影响资产持有和价格信息揭示程度，并用美国和23个国际市场的面板数据验证了模型假设。
By allowing for imperfectly informed markets but optimal private information acquisition, we offer new insights about observed variations in portfolio concentrations in domestic versus foreign risky assets, or “home bias,” and the degree to which home asset prices are “information revealing.” Our model produces discriminating hypotheses about the role of “specific” and “general” human capital endowments and opportunity costs of managing risky assets in determining whether to hold these assets and how their portfolio shares vary across heterogeneous investors and financial markets. These hypotheses are supported by numerical and econometric analyses of panel data from the United States and 23 international financial markets.