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- W3123460167 abstract "This paper develops a two-country OLG model under the assumption that investors are on a Bayesian learning path. While investors from both countries receive identical information flows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases similar to those observed empirically: home bias in equity portfolios and trend-chasing in international flows. In addition, due to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign securities as reported by Tesar and Werner (1995). We use real GDP data for the US and Europe to calibrate the model and produce simulations that show that under the assumption of a financial liberalization during the 1970s, substantial home bias and excess turnover should have been observed in the subsequent years." @default.
- W3123460167 created "2021-02-01" @default.
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- W3123460167 date "2005-01-01" @default.
- W3123460167 modified "2023-09-27" @default.
- W3123460167 title "Home Bias and High Turnover in an Overlapping Generations Model with Learning" @default.
- W3123460167 doi "https://doi.org/10.20955/wp.2005.012" @default.
- W3123460167 hasPublicationYear "2005" @default.
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