Joint research unit 7235

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

Jonas Heipertz, Natacha Valla, Pierre Bui Quang

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.

AGENDA

Tuesday 7 February 2023

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

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

Flood Risk Information: Evidence from Paris Housing Markets

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Tuesday 7 February 2023

Développement Durable Environnement et Energie (DDEE)

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Thursday 9 February 2023

Gender, competitiveness, and reaction to defeat

Claire Mollier

Gender, competitiveness, and reaction to defeat

Thursday 9 February 2023

Doctorants

Claire Mollier

Gender, competitiveness, and reaction to defeat

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

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