Unité mixte de recherche 7235

International equity portfolio diversification: a sectoral and security-by-security analysis

Pierre Bui Quang, Jonas Heipertz, Natacha Valla

[en]International portfolio diversification has been shown to be subject to several puzzles, notably the home bias in equity investment, and the correlation bias. Taken together, those facts suggest that not only do investors tend to prefer domestic equity to foreign equity, but that, when they venture into cross-border investments, they do so in countries where stock prices are most correlated with home markets – contradicting the intuition that international investments are used to diversify portfolios more optimally. Our paper deals mainly with the correlation bias. It uses a dataset on French external financial portfolio positions produced by the Banque de France that allows a security-by-security analysis of international positions. We show that although insurance companies and investment funds are indeed more exposed to highly correlated markets, the way they arrange their portfolios at the security-level is consistent with the existence of a diversification motive.[/en]

AGENDA

mardi 17 mai 2022

Rencontres économiques

9h30 à 11h30

Comment se débarrasser des énergies fossiles et développer les énergies renouvelables dans un monde en crise ?

jeudi 19 mai 2022

Lunch

Christophe Blot

Are all central bank asset purchases the same?

lundi 23 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

mardi 24 mai 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Alice Sindzingre (CEPN) et Fabrice Tricou

De 13h30 à 15h30

Six forms of hierarchy for a theoretical analysis of capitalism

lundi 30 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

mardi 31 mai 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

jeudi 9 juin 2022

Lunch

Rémi Generoso

TBA

jeudi 9 juin 2022

Groupe de travail « Intelligence artificielle »

Hugo Le Picard (IFRI)

Salle G614B

Le deep learning au service de l’analyse des énergies renouvelables en Afrique

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