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The international diversification puzzle is not worse than you think

Julliard, Christian (2002) The international diversification puzzle is not worse than you think. Christian Julliard, London, UK. (Unpublished)

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Abstract

This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how, once the misspecification is corrected, the results are reverted: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it.

Item Type: Monograph (Working Paper)
Additional Information: © 2002 Christian Julliard
Subjects: H Social Sciences > HB Economic Theory
JEL classification: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
F - International Economics > F3 - International Finance > F30 - General
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 02 Mar 2009 16:35
Last Modified: 27 Feb 2014 15:36
URI: http://eprints.lse.ac.uk/id/eprint/4814

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