财务金融系系列讲座之234期

 

时 间:2018年12月4日(周二)13:30

地 点:史带楼503室

主持人: Ph.D. Na ZHANG  Department of Finance, School of Management, Fudan University

主 题: Ambiguity, Familiarity, and the Equity Home Bias Puzzle

演讲者Prof. Soo Hong CHEW    Professor of Finance, National University of Singapore, Fellow of Econometric Society

摘 要: The international equity home bias puzzle about the disproportionate concentration of home equities first appears in Feldstein and Horioka (1980) and French and Porteba (1991). It has inspired a substantial follow-up literature including Coval and Moskowitz (1999) and Huberman (2001) reporting that it persists even when examining only domestic US equities. Besides transaction costs and related hypotheses, a number of papers (see, e.g., Uppal and Wang, 2003) offer preference-based accounts based on the phenomenon of ambiguity aversion modeled using Gilboa and Schmeidler’s (1989) maxmin EU theory. In an influential paper, Fox and Tversky (1995) posit the notion of source preference – people may have preference over lotteries based in part on the underlying source of uncertainty – which has since been axiomatized in Chew and Sagi (2008). Fox and Tversky further suggest that familiarity bias as part of source preference may offer an alternative basis underpinning equity home basis. We study the preference basis for equity home bias via two experiments – one involving US subjects and another involving Hong Kong subjects. In both experiments, we do not find a relation between ambiguity aversion elicited in the lab and subjects’ holding of foreign equities. We further measure the subject’s familiarity bias in terms of her premium in favoring a bet on the trailing digit of the domestic market index (DJIA for US subjects and HSI for Hong Kong subjects) over the ‘same’ bet based on the foreign market index. Supporting the Fox-Tversky hypothesis, we find a negative association between familiarity premium and the extent of subjects’ foreign equity holdings. Overall, our findings favor familiarity bias over ambiguity aversion in providing support for a preference-based account to the equity home bias.

简 介:周恕弘(Chew Soo Hong),新加坡国立大学教授,西南财经大学特聘教授,国际经济计量学会院士(Fellow of Econometric Society)。周恕弘教授是世界著名的decision theorist, 行为经济学家 和 实验经济学家, 曾执教于美国亚利桑那大学、约翰霍普金斯大学,加州大学尔湾分校,and 香港科技大学。论文发表在 Econometrica,Review of Economic Studies, JEEA, EJ  and Journal of Economic Theory 等顶级学术期刊。

 

财务金融系

2018-11-29