Home bias and expected returns: A structural approach
通过将主动资产配置的核心-卫星方法扩展到均衡分析，研究本土偏好对国际资产定价的影响，发现尽管本土偏好显著，但预期收益中的本土溢价几乎可忽略。
We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active asset allocation to an equilibrium analysis. In this framework, investors combine a common core portfolio with an active investment in their home asset. In equilibrium, the core portfolio will deviate from the global market portfolio in characteristic ways, which we exploit to propose a new test of the home premium in expected returns. Unlike previous findings, our evidence suggests that the premium is almost negligible even though the home bias is substantial. This result is mainly driven by the generally high correlation of index returns and the distribution of the relative level of the home bias across countries.