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Home Bias in Portfolio Choices: Social Learning amongst Partially-informed Agents

Home Bias in Portfolio Choices: Social Learning amongst Partially-informed Agents. Wu and Gau Discussed by Shing-yang Hu. Outline. An extension of Gau, Hua, and Wu (Journal of Financial Markets, 2010) Introduce two types of partially-informed investor: Leader and follower

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Home Bias in Portfolio Choices: Social Learning amongst Partially-informed Agents

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  1. Home Bias in Portfolio Choices: Social Learning amongst Partially-informed Agents Wu and Gau Discussed by Shing-yang Hu

  2. Outline • An extension of Gau, Hua, and Wu (Journal of Financial Markets, 2010) • Introduce two types of partially-informed investor: Leader and follower • Focus on portfolio allocation decisions • Learning over time • Overconfidence

  3. Social learning • Signals of followers and learders are correlated with the constant instantaneous correlation

  4. Questions • The magnitude of the impact of social learning on home bias is small

  5. Possible directions • Explore issues related to social learning • Impact on pricing • What do they use to learn? • Empirical questions • How to identify leader and follower? VAR? • Network

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