Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2008. / Hergestellt on demand.

The goal of this thesis is to study the international portfolio choices of countries in an asymmetric world. In practice, this corresponds to the salient facts of country portfolios and the underlying structural asymmetries between developing and developed countries in a financially integrated world. In the three main chapters of the thesis, frameworks are developed to advance our understanding of the way various country asymmetries contribute to the emergence of these persistent phenomena in international capital markets. The first essay studies the question of why developing countries experience net equity inflows and bond outflows while developed countries experience net equity outflows and bond inflows, the so-called ‘two-way capital flows'. The analysis is based on an open-economy New Keynesian model of endogenous country portfolios with representative agents in each country. The model is so general that it allows one to perform an assessment of the roles of a long list of country asymmetries in determining the pattern of two-way capital flows. While steady-state net country portfolios are zero in the first essay, the second and third essays consider the situations where this is not true. The second essay presents an OLG model of an endowment economy with a country asymmetry in households' patience. Global imbalances in net positions emerge. Gross portfolio positions are obtained as the sum of standard self-hedging and, moreover, the hedging due to external imbalances. The valuation effects of external adjustments between creditor and debtor countries are rationalized. By introducing non-tradable risks, the third essay models a production OLG economy with a country asymmetry in wealth division. Global imbalances in net positions again arise. Gross portfolio positions are composed of self-hedging, hedging of non-tradable income and hedging of external interest payments, which accounts for the reality of asymmetric asset home bias, i.e. although assets are locally biased everywhere, the pattern is more pronounced in creditor countries.

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This thesis in applied statistics and industrial economics examines the correlation between a number of market conditions on the Swedish and Global market and the yield difference between the Swedish stock market and the Global stock market. The report is based on data from the index MSCI Sweden Net Return, MSCI World Net Return and the Volatility index S&P 500. The market conditions that have been examined are Bull markets, Bear markets, periods of high volatility. We also examined how the appreciation of the SEK in comparison to the USD and the yield of the Swedish stock market correlated with the yield difference between the Swedish Stock Market and the Global stock market. The correlation was examined using multiple linear regression. The results indicated a positive correlation between the yield difference between the Swedish stock market and the Global stock market and the yield of the Swedish stock market, the appreciation of the SEK compared to the USD and Bull markets. We found a negative correlation with Bear markets and no correlation at all with the volatility.   The results are in line with what could be expected and give a stronger statistical ground for the idea that the Swedish stock market has larger fluctuations than the Global stock market during large-scale market fluctuations. / Detta kandidatexamensarbete inom tillämpad matematik och industriell ekonomi syftar till att undersöka hur avkastningsdifferensen mellan den Svenska och Globala aktiemarknaden korrelerar med ett antal olika marknadsförhållanden. Rapporten är baserad på data från MSCI Sweden Net Return och MSCI World Net Return samt Volatilitetsindex S&P500. De marknadsförhållanden som har undersökts är Bull markets, Bear markets, perioder då det råder hög volatilitet på marknaden. Vi undersökte även avkastningsdifferensens korrelation till kronans värdeförändring gentemot den Amerikanska dollarn och korrelationen till den Svenska aktiemarknadens värdeökning. Korrelationen undersöktes genom att utföra en multipel linjär regression. Resultaten visade på en rådande positiv korrelation mellan utvecklingen på den Svenska aktiemarknaden, prisutvecklingen av den Svenska kronan mot Amerikanska dollarn samt under Bull markets. Vi fann även en negativ korrelation med Bear markets och ingen korrelation till volatiliteten.   Resultaten är i linje med vad som kunde förväntas och ger en starkare statistisk grund till att den Svenska aktiemarknaden har större svängningar än den Globala aktiemarknaden vid stora marknadsfluktuationer.

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Submitted by Mauricio Silveira Lersch (mausilveira1@hotmail.com) on 2015-12-03T19:24:23Z No. of bitstreams: 1 HOME BIAS NO MERCADO DE CAPITAIS BRASILEIRO Um estudo sobre a custódia de investidores em ações - Mauricio Silveira Lersch.pdf: 642103 bytes, checksum: 141cf198aaa6decce2c5e12cd1ad9133 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-12-03T20:08:54Z (GMT) No. of bitstreams: 1 HOME BIAS NO MERCADO DE CAPITAIS BRASILEIRO Um estudo sobre a custódia de investidores em ações - Mauricio Silveira Lersch.pdf: 642103 bytes, checksum: 141cf198aaa6decce2c5e12cd1ad9133 (MD5) / Made available in DSpace on 2015-12-04T11:37:30Z (GMT). No. of bitstreams: 1 HOME BIAS NO MERCADO DE CAPITAIS BRASILEIRO Um estudo sobre a custódia de investidores em ações - Mauricio Silveira Lersch.pdf: 642103 bytes, checksum: 141cf198aaa6decce2c5e12cd1ad9133 (MD5) Previous issue date: 2015-11-12 / This paper presents an analysis of the concentration of the portfolio of Brazilian in-vestors in shares of companies that they work in order to observe whether the Home Bias applied to the sample. Our study was conducted with a sample taken custody of 86 clients of a broker of securities, which are actual data market. We restrict the se-lection of the sample for the half of the sample be of clients who work in open capital companies and the other half, not. It analyzed by a cross section the allocation shares of the investors in the companies they work for and found what percentage of this is holding in their portfolios, compared to a sample of investors who do not work in the company. In addition to these analyzes, we separate the sample by the total value of the portfolio and carried out the same studies with the set different groups of the sample. As a robustness analysis, we identify listed companies that do not adopt the remuneration with shares as a sub sample of the study. As a result, we find evidence that employees has investing significantly more (or in portfolio or in values) in shares of the companies where they work, showing a familiarity bias in making investment decisions. / A presente dissertação apresenta uma análise da concentração do portfólio de a-ções de investidores brasileiros nas próprias empresas onde trabalham com o intuito de observar se o Home Bias se aplica à amostra analisada. Nosso estudo foi reali-zado com uma amostra extraída da custódia de 86 clientes de uma corretora de va-lores mobiliários, sendo estes dados reais de mercado. Restringimos a seleção da amostra de forma que metade fosse de clientes que trabalham em empresas de ca-pital aberto e a outra metade não. Foi feita análise cross section de quanto os inves-tidores alocam em ações das empresas para a qual trabalham e verificou-se qual o percentual desta participação em seus portfólios, em comparação a uma amostra de controle de investidores que não trabalham nesta mesma empresa. Além destas a-nálises, separamos a amostra pelo valor total do portfólio e realizamos os mesmos estudos com estes dois grupos diferentes da amostra. Como uma análise de robus-tez, identificamos empresas listadas que não adotam a remuneração com ações como uma sub-amostra do estudo. Como resultado, encontramos evidências de que os funcionários investem significativamente mais (seja em proporção do portfólio ou em valores) em ações das empresas onde trabalham em relação aos demais inves-tidores, evidenciando um viés de familiaridade na tomada de decisão de investimen-tos.

Le but de cette thèse en cinq chapitres est d’ouvrir de nouvelles perspectives autour de l’opposition qui existe entre la théorie de la diversification et le biais d’investissement domestique notamment pour les investisseurs Européens, Américains et Japonais. En effet, le développement des nouvelles technologies au sein des marchés financiers, a engendré, l’apparition de nouveaux types de produits : notamment les fonds indiciels cotés, qui permettent aux investisseurs d’accéder à une exposition indirecte dans leurs propres unités monétaires (Euro, Dollars et Yen) ou d’investir aisément dans n’importe quels secteurs ou classes d’actifs. L’arrivée de ces nouvelles technologies signe aussi l’émergence de nouvelles formes d’approches d’investissements basées sur des modèles algorithmiques automatisés nommés « Smart Beta ». A la lumière de ces innovations, ma thèse, ouvre de nouvelles perspectives sur le biais d’investissement domestique et pose certaines questions sur les approches classiques d’allocation internationales d’actifs. Le premier chapitre donne une vision globale de ma thèse. Le second tend à démontrer que sur les cinq grandes stratégies de « hedge funds », quatre sont accessibles de manière indirecte en utilisant une approche « Smart Beta » d’allocation d’actifs optimisée, composée de fonds indiciels cotés en Euro. Le troisième chapitre permet de montrer qu’il est possible d’atteindre des stratégies actions en Asie Pacifique de type « Momentum » en utilisant une allocation d’actifs composée de fonds indiciels uniquement cotés en Dollars permettant les mêmes rendements/risques sans aucun risque de change. Le quatrième chapitre, analyse la possibilité pour un investisseur Japonais d’atteindre de manière indirecte des expositions équivalente à des stratégies d’investissement internationale en matières premières en utilisant des fonds indiciels cotés en Yen. D’un point de vue scientifique, je contribue au développement des théories sur l’exposition indirecte des fonds indiciel côtés, en démontrant leurs utilités pour les allocations globales d’actifs. Mes résultats tendent aussi à démontrer que les investisseurs Européens, Américains et Japonais qui investissent seulement avec des produits financiers domestiques, ne perdent pas le bénéfice de la diversification internationale. Ma thèse ouvre aussi un nouvel aspect de la littérature sur les « smart beta » de troisième génération, permettant d’éviter le risque de change, en outrepassant le biais d’investissement domestique. Cette nouvelle approche factorielle permet aux investisseurs d’atteindre des expositions de stratégie « internationale active » dans leurs propres unités monétaires favorisant ainsi la diminution des biais cognitifs et comportementaux du biais d’investissement domestique. Le dernier chapitre offre une discussion générale autour de mes résultats ainsi qu’une conclusion finale. De plus chacun des chapitres contribue de manière spécifique à un thème scientifique donné. D’un point de vue méthodologique, différentes méthodes sont utilisées et combinées («data-driven », « optimization » et « heuristic ») pour créer des approches de type « Smart Beta ». Finalement, ma thèse ouvre de nouvelles questions par rapport à ces différents thèmes : est-ce que l’évolution des nouvelles technologies appliquée au marchés financiers diminue la valeur ajoutée de la diversification classique de portefeuille et tend à augmenter l’intégration financière mondiale ? Est-ce que ces nouveaux produits financiers ouvrent de nouvelles façons d’investir en améliorant l’accès à des stratégies d’investissement complexes ? Est-ce que ces nouveaux produits financiers permettent de trouver des solutions aux différents paradigmes de la finance comportementale ? / This five-chapter thesis provides new perspectives on diversification theory and the home-bias puzzle, which exists as an investment approach notably for European, American and Japanese investors. Indeed, information and communications technology (ICT) development has led to the emergence of new type of financial market product. Exchange-traded funds (ETF) allow investors to reach indirect exposure in their own currency (e.g. euro, U.S. dollars (USD) and yen) and invest in any sectors or asset classes. The ICT revolution has led to the emergence of new forms of algorithmic rules-based frameworks as investment approaches. One notable approach is called ‘smart beta’. In light of these, my thesis offers new insight about the home-bias puzzle and raises new questions about international investment approaches and global-asset allocations. Chapter I provides an overview of my thesis. My second chapter shows that a European investor who would like to attain ‘worldwide alternative investment exposure’ using a long-only optimised composition of euro liquid products can do it. Four out of the five most well-known worldwide alternative investment strategies are achievable through an optimised composition of ETFs denominated by euro. My third chapter shows that an American investor who would like to reach intermediate-term momentum exposure denominated by the South Korea won, Philippine peso, Indonesian rupiah, India rupiah, Australian dollars or New Zealand dollars can achieve the exact same risk/return characteristics using an optimised composition of USD ETFs. This implies that it is possible to reach an Asia–Pacific momentum factor without any exchange risk for an American investor. Finally, my fourth chapter analyses the possibility for a Japanese investor to reach ‘international commodities investment exposure’ with the same risk/return characteristics as a liquid yen product. From a scientific perspective, I first extend previous work about ETF indirect exposure and show the usefulness of ETFs in the global-asset allocation context. Second, I show that U.S., European and Japanese investors who invest only in domestically traded products do not have to lose the benefits of international diversification. Third, my thesis opens the door to third-generation smart-beta literature, explaining how to avoid exchange-rate risks and overcome the home-bias puzzle. This new ‘access factor’ approach allows investors to reach exposure in some international active investment strategies using their own currencies, allowing them to overcome the main cognitive and behavioural drivers of home-bias investing. The fifth chapter offers a final global discussion and a conclusion. Each chapter contributes to the scientific support of several specific topics. From a methodological perspective, different investment-strategy models (i.e. data-driven, optimisation and heuristic) are combined to reach the desired smart-beta exposure. Finally, my thesis asks new questions, such as ‘does ICT development and the new products coming with it on the financial markets (e.g. ETF, smart beta) tend to decrease the value added from classical diversification, and does it tend to increase financial integration?’ and ‘Do these new products create new investment approaches using an easy method to access complex investment strategies?’ ‘Do these new products overcome some of the behavioural finance paradigms?’

The objective of this thesis is to examine real exchange rate volatility, with a particular focus on investigating the causes of exchange rate jumps. While the predominant approach in the literature is to examine the interaction between nominal rigidities and nominal shocks, this thesis examines the volatility that arises from real rigidities and shocks. Trying to better understand the transmission of real shocks to the exchange rate is a worthwhile task, given the substantial evidence that these shocks and rigidities are important for explaining other economic fluctuations. This thesis develops theoretical models that examine the contributions of specific real rigidities to exchange rate volatility. Chapter 1 introduces our baseline specification - a frictionless model, with the exception of capital adjustment costs. This baseline generates very mild exchange rate fluctuations. Additional rigidities are required to generate volatility of the magnitude that is typically observed. Chapter 2 finds that introducing imperfect asset substitutability - specifically, home asset bias - goes a little towards achieving this. When investors are biased, the exchange rate must adjust by more to equilibrate asset markets. This greater burden of adjustment on the exchange rate along the short run path typically translates to larger jumps after shocks. Similarly, Chapter 3 shows that augmenting the baseline with banks and financial frictions raises exchange rate volatility. The key point is that, in the presence of financial frictions, there is a risk premium that widens after negative shocks, increasing the required adjustment of the exchange rate. A fourth chapter extends Chapter 3 and shows that unconventional credit policy, while beneficial in some respects, nonetheless entails nontrivial costs because it invites moral hazard by encouraging banks to be more highly leveraged, which increases exchange rate and consumption volatility. So, the overall message is that, in the presence of plausible real frictions - including (i) capital adjustment costs, (ii) imperfect asset substitutability, and (iii) financial frictions - real shocks can generate a plausibly significant degree of real exchange rate volatility. This thus posits an additional explanation of exchange rate jumps that complements the predominantly monetary literature.

The fact that people prefer to hold domestic equities than foreign ones is still a puzzle for most economists. Although many factors are seemed to be reasonable explanations, two factors, non-traded goods and transaction costs, are usually regarded as the main ones to explain the puzzle. In spite of their importance, the question of which factor has better ability of explaining the puzzle has been the central issue among economists for a long period. In this paper, we will not only try to clarify the issue by examining the role of each factor playing in the puzzle, but also attempt to find out the reasons of disagreements among economists. A modern intranational macroeconomics approach will also be adopted to verify the discussion in this paper. Without surprise, it seems that a model with transaction costs has better ability to explain the puzzle since it's more general in classifying the tradability of goods.

自1970年代起, 就有財務經濟學家注意到一現象的存在: 一國的投資者所持有的外國資產占其所擁有的財富的比例, 與理論上所得的比例相較之下, 小了許多. 也就是, 投資者所持有的資產仍集中於國內資產. 這一現象稱為"本國偏向". 本文的主要目的是希望能夠為 "本國偏向" 的現象,提出理論上的可能解釋. 我們藉由在模型中導入Knightian 不確定性下, 投資者對報酬分配不確定厭惡, 探討投資者國際資產選擇行為. 我們得到了在Knightian 不確定性下, 投資者所持有的外國風險性資產的比例確有偏低的傾向.又若國際資本市場的訊息不對稱, 而造成投資者對於本國資本市場的報酬分配不確定程度, 異於對外國資本市場的報酬分配不確定程度時, 投資者會因對外國資本市場的報酬分配不確定程度較高, 而再降低外國風險性資產的持有比例.由所得結果, 可以發現投資者在估計風險性資產的可能報酬的機率分配時, 所產生的不確定性, 很有可能是迼成投資在做國際資產選擇時, 仍將大部份的財富集中於國內的資本市場的原因之一. 這提供了在未來探討 "本國偏向" 現象時, 一個可以參考的方向. / This paper studies the "home bias" puzzle. With homw bias, domestic investors hold a substantially larger proportion of thier wealth portfolios in domestic assets than standard portfolio theory. In the absence of th home bias, investors would optimally diversify away domestic output risk. We suggest that decision-makers do not have full knowledge of the probabilities of the state fo nature. Using a partial equilibrium representiative agent model, we show how the agent allocates his wealth by the presence of Knightian uncertainty. Under some conditions, we derive and simulate the patterns of diversification for agent who maximizes expected utility and simultaneously minimizes uncertainty of probability, attaching less weight to foreign risky assets. Consequently, we argue that the presence of Knightian uncertainty should be added to the explanatory factors that account for the observed diversification patterns.