Review of Finance, Volume 21, Issue 5, 1 August 2017, Pages 2045–2074

相对乐观与本土偏好之谜

作者：Bruno Solnik (Hong Kong University of Science and Technology), Luo Zuo (Cornell University)

摘要：我们通过两个新颖的数据库研究了相对乐观是否会影响投资组合中的本土偏好。这两个数据库分别是特定资产管理公司对股票、债券、货币资产的预期调查数据库以及国际货币基金投资组合中股票和债券的数据。我们发现在1997-2012年期间，股票的相对乐观是平稳的，但是债券和货币的相对乐观时间序列变异较大。进一步，我们证明了相对乐观不仅对投资组合中股票的本土偏好的影响在经济意义上显著，对债券的本土偏好的影响也是显著的。

关键词：预期，相对乐观，熟悉程度，本土偏好

Relative Optimism and the Home Bias Puzzle

Bruno Solnik (Hong Kong University of Science and Technology), Luo Zuo (Cornell University)

ABSTRACT

We study whether relative optimism leads to home bias in portfolio holdings by looking at two novel databases: a survey that includes expectations of identified professional asset management companies for equity, bonds, and currencies, and the International Monetary Fund portfolio holdings data for equity and bonds. We document that relative optimism for equity is persistent over the period 1997–2012, but relative optimism for bonds and currencies exhibits more time-series variation. Moreover, we show that relative optimism is an economically significant variable that helps explain home bias in portfolio holdings, not only for equity, but also for bonds.

原文链接: https://academic.oup.com/rof/article-abstract/21/5/2045/2670076/Relative-Optimism-and-the-Home-Bias-Puzzle?redirectedFrom=fulltext

翻译：汪国颂