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Crina Pungulescu's
Scholarly Papers
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Total Downloads
560 |
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1.
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Model Uncertainty, Financial Market Integration and the Home Bias Puzzle
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Lieven Baele Tilburg University - Department of Finance Crina Pungulescu Toulouse Barcelona Business School - ESEC Jenke R. ter Horst Tilburg University - Center for Economic Research
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Posted:
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31 Jul 06
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Last Revised:
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28 Jan 08
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263 ( 31,855) |
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Lieven Baele Tilburg University - Department of Finance Crina Pungulescu Toulouse Barcelona Business School - ESEC Jenke R. ter Horst Tilburg University - Center for Economic Research
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26 Jun 07
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26 Jun 07
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Abstract:
This paper investigates to what extent ongoing integration has eroded the equity home bias. To measure home bias, we compare observed foreign asset holdings of 25 markets with optimal portfolio weights obtained from 5 benchmark models. The International CAPM optimal weights equal the relative world market capitalization shares. Alternative models that allow for various degrees of mistrust in the I-CAPM and involve returns data in computing optimal weights indicate a substantially lower yet positive home bias. For many countries, home bias decreases sharply at the end of the 1990s, a development which we link to time-varying globalization and regional integration.
Home Bias, Market Integration, Euro, Model Uncertainty
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Lieven Baele Tilburg University - Department of Finance Crina Pungulescu Toulouse Barcelona Business School - ESEC Jenke R. ter Horst Tilburg University - Center for Economic Research
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31 Jul 06
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Last Revised:
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28 Jan 08
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263
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7
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Abstract:
This paper investigates to what extent ongoing integration has eroded the equity home bias. To measure home bias, we compare observed foreign asset holdings of 25 markets with optimal portfolio weights obtained from 5 benchmark models. The International CAPM optimal weights equal the relative world market capitalization shares. Alternative models that allow for various degrees of mistrust in the I-CAPM and involve returns data in computing optimal weights indicate a substantially lower yet positive home bias. For many countries, home bias decreases sharply at the end of the 1990s, a development which we link to time-varying globalization and regional integration.
Home Bias, Market Integration, Euro, Model Uncertainty
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2.
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Frans A. de Roon Tilburg University - Department of Finance Peter de Goeij CentER, Tilburg Law and Economics Center (TILEC), Tilburg University Crina Pungulescu Toulouse Barcelona Business School - ESEC
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08 Jun 07
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15 Feb 09
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142 (59,762)
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Abstract:
This paper investigates market size effects for expected returns from a large set of developed and emerging markets over a time span of up to three decades. We find that expected returns decrease significantly in larger markets, an effect that is dominant in emerging rather than developed countries. Furthermore, we explore the relationship between size effects and the level of market segmentation in emerging countries. The size premium remains strong and persistent across periods over and above the segmentation premium documented in the literature with respect to the intensity of capital controls. This implies that as markets integrate and expand, expected returns fall due to the decrease of both size as well as segmentation premiums. The market size effect is independent of the segmentation premium and accounts for about 1% per year in terms of expected returns in emerging countries.
Market Size, Emerging Markets, Market Integration, Capital Controls
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3.
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Crina Pungulescu Toulouse Barcelona Business School - ESEC
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22 Sep 08
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02 Mar 09
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73 (97,353)
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Abstract:
This paper follows the process of financial market integration in the European Union, reviewing a large number of studies dedicated to measuring integration of European financial markets and contributing to an incipient body of literature dedicated to East-European New Member States. Several segments and important aspects for financial market integration are taken into account: credit and bond market indicators, stock market indicators, indicators based on household and firm decisions and indicators of institutional differences. A comparison of the evolution in the EU15 with the developments in the East-European countries, shows that convergence is relatively slow with achievements in money markets and clear positive developments for the government bonds. Stock market integration has started, but is generally weak. The best performers in the region are Czech Republic, Poland and Hungary. Across all the market integration indicators, performance of the various countries creates a picture of heterogeneity. There is no definite leader, though Czech Republic, Hungary and Poland, followed by the Baltic States (most noticeably Estonia) strive for being the top performers in the region. All the New Member States appear set to gain more momentum and also more research attention, as their process of integration that has visibly taken off and is in need of both constant monitoring and guidance.
Market Integration, European Union, New Member States
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4.
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Crina Pungulescu Toulouse Barcelona Business School - ESEC
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22 Sep 08
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Last Revised:
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02 Mar 09
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60 (108,880)
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Abstract:
This paper proposes equity home bias as a proxy for financial integration in the ongoing empirical debate on the impact of financial integration on economic growth. In integrated markets, investors are expected to take full advantage of the potential for international diversification. The extent of equity home bias (i.e. overinvesting in domestic stocks and foregoing gains from international diversification) gives therefore a relevant quantity-based measure of financial integration. Using different techniques to compute home bias, this paper investigates whether countries with lower home bias experience faster economic growth. Also, other possible real effects of (decreasing) home bias are analyzed, respectively regarding growth and consumption variability, as well as the degree of international risk sharing and on income inequality. The results suggest that financial integration, proxied by the decreasing equity home bias, has significant positive effects on economic growth and on international risk sharing. Moreover, these benefits do not come at the cost of higher variability in real variables. At the same time, it appears that higher financial integration is associated also with higher income inequality.
Home Bias, International Portfolio Choice, Economic Growth, Model Uncertainty
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5.
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Crina Pungulescu Toulouse Barcelona Business School - ESEC
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19 Feb 09
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Last Revised:
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19 Feb 09
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22 (161,391)
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Abstract:
This paper investigates market size effects for expected returns from a large set of developed and emerging markets over a time span of up to three decades. We find that expected returns decrease significantly in larger markets, an effect that is dominant in emerging rather than developed countries. Furthermore, we explore the relationship between size effects and the level of market segmentation in emerging countries. The size premium remains strong and persistent across periods over and above the segmentation premium documented in the literature with respect to the intensity of capital controls. This implies that as markets integrate and expand, expected returns fall due to the decrease of both size as well as segmentation premiums. The market size effect is independent of the segmentation premium and accounts for about 1% per year in terms of expected returns in emerging countries.
Market Size, Emerging Markets, Market Integration, Capital Controls
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