International capital market equilibrium with investment barriers☆
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2023, North American Journal of Economics and FinanceCitation Excerpt :The existing literature provides a number of variables as possible explanations for the occurrence of equity home bias. Some common variables explaining home bias phenomenon are barriers to international investment such as high transaction costs (Black, 1974; Glassman & Riddick, 2001; Stulz, 1981; Tesar & Werner, 1995; Warnock, 2002) and restrictions on international capital flow (Black, 1974; Kaminsky et al., 2000; Stulz, 1981). Some of the researchers (Ahearne et al., 2004; Tesar & Werner, 1995), however, confirm that transaction costs cannot explain the observed equity home bias.
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This work was supported in part by the Center for Research in Security Prices (sponsored by Merrill, Lynch, Pierce, Fenner & Smith Inc.) of the University of Chicago. I am grateful for comments on an earlier draft by Michael Jensen and Merton Miller.