Global portfolio rebalancing under the microscope
By: Harald Hau, Helene Rey.
Contributors: Rey, Hélène.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 14165; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 14165.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The dramatic increase in gross stock of foreign assets and liability has revived interest in the portfolio balance theory of international investment.  Evidence on the validity of this theory has always been scarce and inconclusive.  The current paper derives testable empirical implications from microeconomic foundations, which we confront with a new comprehensive data set on the stock allocations of approximately 6,500 international equity funds domiciled in four different currency areas.  The disaggregated data structure allows us to examine whether foreign exchange and equity risk measures trigger the predicted rebalancing behavior at the fund and stock level.  The data provide strong support for portfolio rebalancing behavior aimed at reducing both exchange rate and equity risk exposure"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/23/2008.

Includes bibliographical references.

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