Sectoral Home Bias  

时间：2020年12月22日（周二）10:30-12:00 am

地点：北京大学国家发展研究院致福轩会议室（线上）

主持人：余淼杰，余昌华

主讲人：Chenyue Hu（University of California, Santa Cruz）

摘要: This paper examines the well-known home bias puzzle in international finance at the industry level. Using unique financial datasets, I calculate the sectoral home bias index that covers 27 industries in 43 countries. The major empirical patterns include (1) sectoral home bias is stronger for countries whose capital restrictions are greater, (2) nontradable sectors exhibit a higher degree of home bias, and (3) investors tilt portfolios more towards domestic assets for sectors in which their countries reveal a comparative advantage. Motivated by these findings, I build a model that incorporates transaction costs, information asymmetry, and risk-hedging motives in investors’ portfolio choice problem.  By quantifying the influence of these factors on equity home bias, the multi-sector framework sheds light on the patterns and determinants of international financial flows. 

主讲人: Chenyue Hu is an assistant professor of economics at UC Santa Cruz. Her research interests lie in international economics and macroeconomics, with an emphasis on international finance. Topics she has worked on include international risk-sharing and portfolio arrangement, sovereign default and its consequences, and financial constraint and international trade. In these projects, she combined empirical and theoretical analyses to identify and explain novel facts about international capital mobility. Chenyue completed her Ph.D. in economics in 2016 at the University of Michigan and earned a B.A. in economics in 2010 from Fudan University.