عوامل موثر بر سرمایه گذاری بین المللی و تخصیص توجه: استفاده از داده های پرس و جو جستجو در اینترنت

This paper explores the joint determination of home bias and attention allocation. We overcome the typical challenge associated with evaluating attention allocation theories by using a new internet search query dataset to measure how much information investors decide to process. Employing an instrumental variables approach, we find empirical evidence of a two-way causality between home bias and attention. Our estimates suggest that if all countries were to receive the same level of attention as the U.S., then the average home bias by U.S. investors would fall from 85.2% to 57.3%.

The existence of a domestic bias in international equity holdings was first documented by French and Poterba, 1991 and Tesar and Werner, 1995. One popular justification focuses on the role of informational asymmetries between domestic and foreign investors. Although over the past decade innovations in telecommunication and information technologies have greatly increased investors' access to information around the globe, significant levels of home bias still remain. To explain this persistent bias, information-based models commonly have to assume implausibly large exogenous information asymmetries. Recent work by Van Nieuwerburgh and Veldkamp (2009), however, generated these large information asymmetries by endogenizing the investors' information structure. In their model, the allocation of investors' limited attention leads to information heterogeneity endogenously and thereby a sizeable bias in portfolios. Our paper provides empirical support for attention-based explanations of the home equity bias.

On August 3, 2006, AOL released a dataset which includes over 21 million web search queries from 657,426 of its customers. The data includes all searches and results from users for a three month period as well as a record regarding whether or not the user clicked on a search result. Using the AOL dataset, we constructed a measure of cross-country attention allocation, given by the number of times users clicked through a search result provided by a particular country.