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Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns / Philippe Bacchetta, Eric van Wincoop.
- Format:
- Book
- Author/Creator:
- Bacchetta, Philippe.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23363.
- NBER working paper series no. w23363
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Gradual Portfolio Adjustment
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach differs from related literature in two key dimensions. First, the time interval between portfolio decisions is stochastic rather than fixed, leading to a smoother response to shocks. Second, rather than only considering asset returns, we also use data on portfolio shares to confront the model to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio decisions, with a frequency of at most once in 15 months on average.
- Notes:
- Print version record
- April 2017.
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