| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0347859 |
| utime |
20240103193928.1 |
| mtime |
20101103235959.9 |
| title
(primary) (eng) |
Equity home bias in the Czech Republic |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346970 |
| ISBN |
978-80-7394-218-2 |
| title
|
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 |
| page_num |
18-23 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
J. |
|
|
| keyword |
Equity home bias |
| keyword |
optimal investment portfolio |
| keyword |
behavioral finance |
| author
(primary) |
| ARLID |
cav_un_auth*0264562 |
| name1 |
Báťa |
| name2 |
Karel |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
Investors reveal a tendency to prefer domestic over foreign equities despite the financial losses. From institutional perspective the factors that cause home biasness are the barriers to entry the foreign markets, transaction costs, illiquidity, asymmetric information and information costs, corporate governance and inflation and exchange rate risks. Behavioral finance argues that irrationality of investors cause the home biasness. Investors tend to be under the influence of psychological biases: optimism, overconfidence, social identity, narrow framing and loss aversion. In this paper we introduce a model of optimal portfolio of Czech investors with three utility functions: Markowitz, exponential and CRRA. The prediction of the model without short selling suggests that Czech investors should have more than 60 % (between 72 - 83 % for feasible levels of risk aversion) in domestic equities. The OECD data claim that they hold around 87 % in domestic equities. |
| action |
| ARLID |
cav_un_auth*0264432 |
| name |
28-th International Conference on Mathematical Methods in Economics |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0188538 |
| arlyear |
2010 |
| mrcbU63 |
cav_un_epca*0346970 Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 978-80-7394-218-2 18 23 České Budějovice University of South Bohemia 2010 |
| mrcbU67 |
Houda M. 340 |
| mrcbU67 |
Friebelová J. 340 |
|