Dissertation/Thesis Abstract

Essays on the Determinants of Foreign Asset Portfolio Allocation, Home Bias, and Portfolio Dynamics during the Financial Crisis
by Rika, Elona, Ph.D., Brandeis University, International Business School, 2014, 165; 3721627
Abstract (Summary)

This dissertation contains three essays on international finance, focusing mainly on the investment preferences of investors when making foreign portfolio allocation decisions. In particular, it explores (i) the factors that influence investors' decisions to over- or under-weight foreign markets, (ii) the effect of home bias on portfolio performance, and (iii) the importance of bilateral linkages during and after the global financial crisis. Throughout these three chapters, I also assess similarities and differences between two assets, equities and bonds, and investigate distinctions between developed and emerging markets investors. The first chapter shows that international investors heavily tilt their foreign portfolios toward more familiar and less risky destinations, particularly those with more developed financial markets. The second chapter delves deeper into how investors allocate their portfolios between domestic and foreign assets, finding strong empirical evidence that actual portfolios are sub-optimally allocated and that home bias hinders risk-adjusted performance. Finally, the third chapter shows that bilateral trade linkages, market correlations, country risk, and the regulatory environment were important determinants of portfolio adjustment patterns during and after the global financial crisis. Taken as a whole, the results of my dissertation underscore the importance of recognizing the bilateral factors that play an important role influencing international investors' allocation decisions.

Indexing (document details)
Advisor: Mann, Catherine L.
Commitee: Gumbau-Brisa, Fabia, LeBaron, Blake, Nandy, Debarshi
School: Brandeis University, International Business School
Department: International Economics
School Location: United States -- Massachusetts
Source: DAI-A 77/01(E), Dissertation Abstracts International
Subjects: Business administration, Management, Economics, International Relations
Keywords: Financial crises, Foreign investor, Home bias, International portfolio choice, Optimal portfolio allocation
Publication Number: 3721627
ISBN: 9781339032740