M. Adler and B. Dumas, International Portfolio Choice and Corporation Finance: A Synthesis, The Journal of Finance, vol.7, issue.2, pp.925-84, 1983.
DOI : 10.1111/j.1540-6261.1983.tb02511.x

A. G. Ahearne, W. L. Griever, and F. E. Warnock, Information costs and home bias: an analysis of US holdings of foreign equities, Journal of International Economics, vol.62, issue.2, pp.313-336, 2004.
DOI : 10.1016/S0022-1996(03)00015-1

A. A. Amadi and P. R. Bergin, Understanding international portfolio diversification and turnover rates, Journal of International Financial Markets, Institutions and Money, vol.18, issue.2, pp.191-206, 2008.
DOI : 10.1016/j.intfin.2006.09.003

J. Aizenman, Financial Opening and Development: Evidence and Policy Controversies, American Economic Review, vol.94, issue.2, pp.65-70, 2004.
DOI : 10.1257/0002828041301434

R. Albuquerque, G. Bauer, G. , and M. Schneider, International Equity Flows and Returns: A Quantitative Equilibrium Approach, Review of Economic Studies, vol.74, issue.1, pp.1-30, 2007.
DOI : 10.1111/j.1467-937X.2007.00412.x

J. Anderson and E. Van-wincoop, Trade Costs, Journal of Economic Literature, vol.42, issue.3, pp.691-751, 2004.
DOI : 10.1257/0022051042177649

A. Aviat and N. Coeurdacier, The geography of trade in goods and asset holdings, Journal of International Economics, vol.71, issue.1, pp.22-51, 2007.
DOI : 10.1016/j.jinteco.2006.02.002

URL : https://hal.archives-ouvertes.fr/hal-01045223

D. K. Backus, P. J. Kehoe, and F. E. Kydland, Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?, American Economic Review, vol.84, issue.1, pp.84-103, 1994.
DOI : 10.3386/w4242

S. Baier and J. H. Bergstrand, The growth of world trade: tariffs, transport costs, and income similarity, Journal of International Economics, vol.53, issue.1, pp.1-27, 2001.
DOI : 10.1016/S0022-1996(00)00060-X

N. Barberis and R. Thaler, A Survey of Behavioral Finance. in Handbook of the Economics of Finance, chap, pp.1051-1121, 2004.

R. Barro, Rare Disasters and Asset Markets in the Twentieth Century*, Quarterly Journal of Economics, vol.121, issue.3, pp.823-866, 2006.
DOI : 10.1162/qjec.121.3.823

M. Baxter and M. J. Crucini, Business Cycles and the Asset Structure of Foreign Trade, International Economic Review, vol.36, issue.4, pp.821-54, 1995.
DOI : 10.2307/2527261

M. Baxter and U. Jermann, The International Diversiication Puzzle Is Worse Than You Think, American Economic Review, vol.87, issue.1, pp.170-80, 1997.

M. Baxter, U. Jermann, and R. G. King, Nontraded goods, nontraded factors, and international non-diversification, Journal of International Economics, vol.44, issue.2, pp.211-229, 1998.
DOI : 10.1016/S0022-1996(97)00018-4

G. Benigno and H. Kucuk-tuger, Financial Globalization, Home Equity Bias and International Risk-Sharing, mimeo LSE, 2008.

P. Benigno and S. Nistico, International Portfolio Allocation under Model Uncertainty, American Economic Journal: Macroeconomics, vol.4, issue.1, 2009.
DOI : 10.1257/mac.4.1.144

URL : http://www.nber.org/papers/w14734.pdf

G. Bekaert and C. Harvey, Time-Varying World Market Integration, The Journal of Finance, vol.50, issue.2, pp.403-447, 1995.
DOI : 10.1111/j.1540-6261.1995.tb04790.x

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.636.3220

G. Bekaert and C. R. Harvey, Emerging markets nance, Journal of Empirical Finance, vol.10, pp.1-2, 2003.

T. Berriel and S. Bhattarai, Hedging Against the Government: A Solution to the Home Asset Bias Puzzle, American Economic Journal: Macroeconomics, vol.5, issue.1, 2008.
DOI : 10.1257/mac.5.1.102

S. Benartzi, Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock, The Journal of Finance, vol.39, issue.1, pp.1747-1764, 2001.
DOI : 10.1111/0022-1082.00388

N. Barberis and R. Thaler, A Survey of Behavioral Finance. in Handbook of the Economics of Finance, chap, pp.1051-1121, 2004.

H. Bohn and L. Tesar, U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing, American Economic Review, vol.86, issue.2, pp.77-81, 1996.
URL : https://hal.archives-ouvertes.fr/insu-00377423

L. Bottazzi, P. Pesenti, and E. Van-wincoop, Wages, profits and the international portfolio puzzle, European Economic Review, vol.40, issue.2, pp.219-254, 1996.
DOI : 10.1016/0014-2921(96)00009-8

A. L. Bovenberg and R. Gordon, Why is Capital so Immobile Internationally? Possible Explanations and Implications for Capital Income Taxation, American Economic Review, vol.86, issue.5, pp.1057-75, 1996.

M. J. Brennan and H. Cao, International Portfolio Investment Flows, The Journal of Finance, vol.60, issue.5, pp.1851-80, 1997.
DOI : 10.1111/j.1540-6261.1997.tb02744.x

M. J. Brennan, H. Cao, N. Strong, and X. Xu, The dynamics of international equity market expectations, Journal of Financial Economics, vol.77, issue.2, pp.257-288, 2005.
DOI : 10.1016/j.jfineco.2004.06.008

K. Chan, V. Covrig, and L. Ng, What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide, The Journal of Finance, vol.14, issue.3, pp.1495-1534, 2005.
DOI : 10.1111/j.1540-6261.2005.768_1.x

H. Choe, B. C. Kho, and R. M. Stulz, Do domestic investors have an edge? The trading experience of foreign investors in Korea, Review of Financial Studies, vol.183, pp.795-829, 2005.

N. Coeurdacier, Do trade costs in goods market lead to home bias in equities?, Journal of International Economics, vol.77, issue.1, pp.86-100, 2009.
DOI : 10.1016/j.jinteco.2008.10.005

N. Coeurdacier and P. Gourinchas, When bonds matter: Home bias in goods and assets, Journal of Monetary Economics, vol.82, 2010.
DOI : 10.1016/j.jmoneco.2016.07.005

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.232.1290

N. Coeurdacier and S. Guibaud, A Dynamic Equilibrium of Imperfectly Integrated Financial Markets. manuscript, 2009.
URL : https://hal.archives-ouvertes.fr/halshs-00590775

N. Coeurdacier, R. Kollmann, and P. Martin, International Portfolios with Supply, Demand, and Redistributive Shocks, NBER International Seminar on Macroeconomics (ISOM) 2007, 2007.

N. Coeurdacier, R. Kollmann, and P. Martin, International portfolios, capital accumulation and foreign assets dynamics, Journal of International Economics, vol.80, issue.1, pp.100-112, 2010.
DOI : 10.1016/j.jinteco.2009.05.006

URL : https://hal.archives-ouvertes.fr/hal-01052901

N. Coeurdacier, T. Ocaktan, and H. Rey, International Risk Sharing and Limited Participation, 2010.

N. Coeurdacier, H. Rey, and P. Winant, The Risky Steady State, American Economic Review, vol.101, issue.3, 2010.
DOI : 10.1257/aer.101.3.398

URL : https://hal.archives-ouvertes.fr/hal-00972801

N. Coeurdacier and P. Martin, The geography of asset trade and the euro: Insiders and outsiders, Journal of the Japanese and International Economies, vol.23, issue.2, pp.90-113, 2009.
DOI : 10.1016/j.jjie.2008.11.001

H. L. Cole and M. Obstfeld, Commodity trade and international risk sharing, Journal of Monetary Economics, vol.28, issue.1, pp.3-24, 1991.
DOI : 10.1016/0304-3932(91)90023-H

Y. Chien, H. Cole, and L. H. , A Multiplier Approach to Understanding the Macro Implications of Household Finance, The Review of Economic Studies, vol.78, issue.1, pp.199-234, 2011.
DOI : 10.1093/restud/rdq008

F. Collard, H. Dellas, B. Diba, and A. Stockman, Goods Trade and International Equity Portfolios, 2007.
DOI : 10.3386/w13612

I. Cooper and E. Kaplanis, Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium, Review of Financial Studies, vol.7, issue.1, pp.45-60, 1994.
DOI : 10.1093/rfs/7.1.45

J. D. Coval and T. Moskowitz, Home Bias at Home: Local Equity Preference in Domestic Portfolios, The Journal of Finance, vol.48, issue.6, pp.2045-2073, 1999.
DOI : 10.1111/0022-1082.00181

J. D. Coval and T. Moskowitz, The geography of investment: informed trading and asset pricing, Journal of Political Economy, vol.1094, pp.811-841, 2001.

C. Daude and M. Fratzscher, The pecking order of cross-border investment, Journal of International Economics, vol.74, issue.1, pp.94-119, 2008.
DOI : 10.1016/j.jinteco.2007.05.010

D. Corte, P. Sestieri, G. , and L. Sarno, The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth, 2009.

M. Devereux, M. Saitodevereux, M. , and A. Sutherland, Monetary Policy and Portfolio Choice in an Open Economy Macro Model, Journal of the European Economic Association, vol.5, issue.2-3, pp.491-499, 2005.
DOI : 10.1162/jeea.2007.5.2-3.491

M. Devereux and A. Sutherland, Solving for Country Portfolios in Open Economy Macro Models, IMF Working Papers, vol.07, issue.284, 2008.
DOI : 10.5089/9781451868470.001

M. Devereux and A. Sutherland, Financial globalization and monetary policy, Journal of Monetary Economics, vol.55, issue.8, pp.1363-1375, 2008.
DOI : 10.1016/j.jmoneco.2008.09.008

M. Devereux and A. Sutherland, Country portfolio dynamics, Journal of Economic Dynamics and Control, vol.34, issue.7, 2009.
DOI : 10.1016/j.jedc.2010.03.008

M. Devereux and A. Sutherland, Valuation EEects and The Dynamics of Net External Assets, Journal of International Economics, 2009.

B. Dumas and A. Lyasoo, Incomplete-Market Equilibria Solved Recursively on an Event Tree, 2010.

B. Dumas, A. Kurshev, and R. Uppal, Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, Journal of Finance, 2007.

B. Dumas, K. Lewis, and E. Osambela, Diierences in opinion in an international nancial market equilibrium, 2009.

T. Dvorak, Do Domestic Investors Have an Information Advantage? Evidence from Indonesia, Journal of Finance, vol.602, pp.817-839, 2005.

W. Dziuda and J. Mondria, Asymmetric Information, Portfolio Managers and Home bias. mimeo, 2008.

R. Eldor, D. Pines, and A. Schwartz, Home asset preference and productivity shocks, Journal of International Economics, vol.25, issue.1-2, pp.165-176, 1988.
DOI : 10.1016/0022-1996(88)90011-6

C. Engel and A. Matsumoto, The International Diversification Puzzle When Goods Prices Are Sticky: It's Really about Exchange-Rate Hedging, Not Equity Portfolios, American Economic Journal: Macroeconomics, vol.1, issue.2, pp.155-188, 2009.
DOI : 10.1257/mac.1.2.155

C. Engel and A. Matsumoto, International Risk Sharing: Through Equities or Bonds, 2009.

R. H. Gordon, J. Hines, and . Jr, International taxation, Handbook of Public Economics, 2002.

&. M. Auerbach and . Feldstein, Handbook of Public Economics, pp.1935-1995

M. Evans and V. Hnatkovska, International Capital Flows Returns and World Financial Integration, Meeting Papers, vol.60, 2006.

M. Evans and V. Hnatkovska, Financial Integration, Macroeconomic Volatility, and Welfare, Journal of the European Economic Association, vol.5, issue.2-3, 2006.
DOI : 10.1162/jeea.2007.5.2-3.500

M. Evans and V. Hnatkovska, A Method for Solving General Equilibrium Models with Incomplete Markets and Many Financial Assets, 2008.

H. Faruqee, S. Li, and I. K. Yan, The Determinants of International Portfolio Holdings and Home Bias, IMF Working Paper, vol.34, 2004.

M. Fidora, M. Fratzscher, and C. Thimann, Home bias in global bond and equity markets: The role of real exchange rate volatility, Journal of International Money and Finance, vol.26, issue.4, pp.222-225, 2007.
DOI : 10.1016/j.jimonfin.2007.03.002

K. R. French and J. M. Poterba, Investor Diversiication and International Equity Markets, 1991.

T. Gehrig, An Information Based Explanation of the Domestic Bias in International Equity Investment, The Scandinavian Journal of Economics, vol.95, issue.1, pp.97-109, 1993.
DOI : 10.2307/3440137

W. N. Goetzmann and A. Kumar, Diversiication Decisions of Individual Investors and Asset Prices, Yale ICF Working Paper, pp.3-31, 2004.

I. Goldstein and A. Razin, An information-based trade off between foreign direct investment and foreign portfolio investment, Journal of International Economics, vol.70, issue.1, pp.271-295, 2006.
DOI : 10.1016/j.jinteco.2005.12.002

R. Grauer and N. Hakansson, Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds, The Journal of Finance, vol.9, issue.3, pp.721-739, 1987.
DOI : 10.1111/j.1540-6261.1987.tb04581.x

R. Griith, J. Hines, and P. Ssrensen, International capital taxation, Mirlees Review chapter 10, 2009.

P. O. Gourinchas and H. Rey, From World Banker to World Venture Capitalist, 2007.
DOI : 10.7208/chicago/9780226107288.003.0002

P. O. Gourinchas and H. Rey, International Financial Adjustment, Journal of Political Economy, vol.115, issue.4, pp.665-703, 2007.
DOI : 10.1086/521966

J. Greenwood, Z. Hercowitz, and G. Hux-oman, Investment, Capacity Utilization and the Real Business Cycle, American Economic Review, vol.78, pp.402-419, 1988.

M. Grinblatt and M. Keloharju, The investment behavior and performance of various investor types: a study of Finland's unique data set, Journal of Financial Economics, vol.55, issue.1, pp.43-67, 2000.
DOI : 10.1016/S0304-405X(99)00044-6

M. Grinblatt and M. Keloharju, How Distance, Language, and Culture Influence Stockholdings and Trades, The Journal of Finance, vol.14, issue.3, pp.1053-1073, 2001.
DOI : 10.1111/0022-1082.00355

H. Grubel, Internationally diversiied portfolios: Welfare gains and capital ows, American Economic Review, vol.58, pp.89-94, 1968.

F. Guvenen, A Parsimonious Macroeconomic Model for Asset Pricing, Econometrica, vol.77, issue.6, pp.1711-1740, 2009.
DOI : 10.3386/w15243

J. Harrigan, OECD imports and trade barriers in 1983, Journal of International Economics, vol.35, issue.1-2, pp.99-111, 1993.
DOI : 10.1016/0022-1996(93)90006-J

J. C. Hatchondo, ASYMMETRIC INFORMATION AND THE LACK OF PORTFOLIO DIVERSIFICATION*, International Economic Review, vol.30, issue.4, pp.1297-1330, 2008.
DOI : 10.1111/j.1468-2354.2008.00513.x

H. Hau, Location matters: An examination of trading proots, Journal of Finance, vol.565, pp.1959-1983, 2001.

H. Hau and H. Rey, Home Bias at the Fund Level, American Economic Review, vol.98, issue.2, pp.333-338, 2008.
DOI : 10.1257/aer.98.2.333

G. Huberman, Familiarity Breeds Investment, Review of Financial Studies, vol.14, issue.3, pp.659-680, 2001.
DOI : 10.1093/rfs/14.3.659

R. D. Huang and C. Shiu, Local eeects of foreign ownership in an emerging nancial market: Evidence from qualiied foreign institutional investors in Taiwan, 2006.

J. Heathcote and F. Perri, Financial autarky and international business cycles, Journal of Monetary Economics, vol.49, issue.3, pp.601-627, 2002.
DOI : 10.1016/S0304-3932(02)00103-4

J. Heathcote and F. Perri, The international diversiication is not as bad as you think, National Bureau of Economic Research, 2008.

. Hnatkovska and V. Viktoria, Home Bias and High Turnover: Dynamic Portfolio Choice with Incomplete Markets, Jounral of International Economics, 2008.

P. Hooper and J. Marquez, Exchange Rates, Prices, and External Adjustment in the United States and Japan, Understanding Interdependence, pp.107-68, 1995.

G. Huberman, Familiarity Breeds Investment, Review of Financial Studies, vol.14, issue.3, pp.659-680, 2001.
DOI : 10.1093/rfs/14.3.659

D. Hummels, Toward a Geography of Trade Costs, SSRN Electronic Journal, 2001.
DOI : 10.2139/ssrn.160533

C. Julliard, The international diversiication puzzle is not worse than you think, 2002.

K. L. Judd, Numerical Methods in Economics, 1998.

K. L. Judd and S. Guu, Asymptotic methods for asset market equilibrium analysis, Economic Theory, vol.18, issue.1, pp.127-157, 2001.
DOI : 10.1007/PL00004130

K. L. Judd, F. E. Kubler, and K. Schmedders, A Solution Method for Incomplete Asset Markets wih Heterogeneous Agents, 2002.

A. Karolyi and R. M. Stulz, Are Financial Assets Priced Locally or Globally?, in the Handbook of the Economics of Finance, 2003.

R. Kollmann, A Dynamic Equilibrium Model of International Portfolio Holdings: Comment, Econometrica, vol.74, issue.1, pp.269-273, 2006.
DOI : 10.1111/j.1468-0262.2006.00656.x

R. Kollmann, International Portfolio Equilibrium and the Current Account, Centre for Economic Policy Research, 2006.

R. Paul and . Krugman, Consumption Preferences, Asset Demands, and Distribution EEects in International Financial Markets, NBER Working Papers 0651, National Bureau of Economic Research, 1981.

R. Philip and . Lane, International investment positions: a cross-sectional analysis, Journal of International Money and Finance, vol.19, issue.4, 2000.

P. Lane and G. M. Milesi-feretti, The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970???2004, Journal of International Economics, vol.73, issue.2, pp.223-250, 2007.
DOI : 10.1016/j.jinteco.2007.02.003

P. Lane, Global Bond Portfolios and EMU, SSRN Electronic Journal, 2006.
DOI : 10.2139/ssrn.925858

P. Lane and J. Shambaugh, Financial Exchange Rates and International Currency Exposures. Forthcoming in the, American Economic Review, 2009.

P. Lane and J. Shambaugh, The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets, Forthcoming in Journal of International Economics, 2009.

H. Levy and M. Sarnat, International diversiication of investment portfolios, American Economic Review, vol.60, pp.668-675, 1970.

K. Lewis, Trying to Explain Home Bias in Equities and Consumption, Journal of Economic Literature, vol.37, issue.2, pp.571-608, 1999.
DOI : 10.1257/jel.37.2.571

K. Lewis, Why do stocks and consumption imply such different gains from international risk sharing?, Journal of International Economics, vol.52, issue.1, pp.1-35, 2000.
DOI : 10.1016/S0022-1996(99)00027-6

R. Lucas, Interest rates and currency prices in a two-country world, Journal of Monetary Economics, vol.10, issue.3, pp.335-359, 1982.
DOI : 10.1016/0304-3932(82)90032-0

J. B. De-macedo, Optimal currency diversification for a class of risk-averse international investors, Journal of Economic Dynamics and Control, vol.5, issue.1, pp.173-185, 1983.
DOI : 10.1016/0165-1889(83)90020-9

J. B. De-macedo, J. A. Goldstein, and D. M. Meerschwam, International Portfolio Diversiication: Short-Term Financial Assets and Gold, National Bureau of Economic Research, 1985.

P. Martin and H. Rey, Financial super-markets: size matters for asset trade, Journal of International Economics, vol.64, issue.2, pp.335-361, 2004.
DOI : 10.1016/j.jinteco.2003.12.001

URL : https://hal.archives-ouvertes.fr/halshs-00176904

P. Martin and H. Rey, Globalization and Emerging Markets: With or Without Crash, 2004.
URL : https://hal.archives-ouvertes.fr/hal-01021349

M. Massa and A. Simonov, Hedging, Familiarity and Portfolio Choice, Review of Financial Studies, vol.19, issue.2, pp.633-685, 2006.
DOI : 10.1093/rfs/hhj013

A. Matsumoto, The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice, IMF Working Papers, vol.07, issue.163, 2007.
DOI : 10.5089/9781451867275.001

E. G. Mendoza, The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations, International Economic Review, vol.36, issue.1, pp.101-137, 1995.
DOI : 10.2307/2527429

J. Mondria, Portfolio choice, attention allocation, and price comovement, Journal of Economic Theory, vol.145, issue.5, pp.1837-1864, 2010.
DOI : 10.1016/j.jet.2010.03.001

J. Mondria and T. Wu, The puzzling evolution of the home bias, information processing and financial openness, Journal of Economic Dynamics and Control, vol.34, issue.5, pp.875-896, 2010.
DOI : 10.1016/j.jedc.2009.12.004

J. Mondria and W. Dziuda, Asymmetric Information, Portfolio Managers, and Home Bias, 2010.

M. Obstfeld and K. Rogoo, The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?, NBER Macroeconomics Annual, pp.339-390, 2000.

M. Obstfeld, International Risk Sharing and the Costs of Trade, Ohlin Lecture, 2007.

J. Ostry and C. M. Reinhart, Private Saving and Terms of Trade Shocks: Evidence from Developing Countries, IMF Staa Papers, vol.39, issue.3, 1992.

L. Pp-astor, Portfolio Selection and Asset Pricing Models, Journal of Finance American Finance Association, vol.55, issue.1, pp.179-223, 2000.

A. Pavlova and R. Rigobon, Asset Prices and Exchange Rates, Review of Financial Studies, vol.20, issue.4, pp.1139-1181, 2007.
DOI : 10.1093/revfin/hhm008

A. Pavlova and R. Rigobon, An asset-pricing view of external adjustment, Journal of International Economics, vol.80, issue.1, pp.144-156, 2010.
DOI : 10.1016/j.jinteco.2009.09.003

A. Pavlova and R. Rigobon, Equilibrium Portfolios and External Adjustment Under Incomplete Markets, SSRN Electronic Journal, 2009.
DOI : 10.2139/ssrn.1107477

A. Pavlova and R. Rigobon, The Role of Portfolio Constraints in the International Propagation of Shocks, Review of Economic Studies, vol.75, issue.4, pp.1215-1256, 2009.
DOI : 10.1111/j.1467-937X.2008.00509.x

P. Pesenti and E. Van-wincoop, Can Nontradables Generate Substantial Home Bias?, Journal of Money, Credit, and Banking, vol.34, issue.1, pp.25-50, 2002.
DOI : 10.1353/mcb.2002.0034

V. Polkovnichenko, Household Portfolio diversiication: a case for rank dependent preferences. mimeo, 2004.

R. Portes, H. Rey, and Y. Oh, Information and capital ows: The determinants of transactions in nancial assets, European Economic Review, vol.45, pp.4-6, 2001.

R. Portes and H. Rey, The determinants of cross-border equity flows, Journal of International Economics, vol.65, issue.2, pp.269-296, 2005.
DOI : 10.1016/j.jinteco.2004.05.002

URL : https://hal.archives-ouvertes.fr/halshs-00754100

P. Rowland, Transaction costs and international portfolio diversification, Journal of International Economics, vol.49, issue.1, pp.145-170, 1999.
DOI : 10.1016/S0022-1996(98)00059-2

S. Razin and Y. , Implications of home bias: a pecking order of capital innows and corrective taxation. .The economics of globalization: policy perspectives from public economics p 85, 1999.

P. A. Samuelson, The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments, The Review of Economic Studies, vol.37, issue.4, pp.537-579, 1970.
DOI : 10.2307/2296483

M. Sarkissian and M. J. Schill, The Overseas Listing Decision: New Evidence of Proximity Preference, Review of Financial Studies, vol.17, issue.3, pp.769-809, 2004.
DOI : 10.1093/rfs/hhg048

P. Sercu and R. Vanp-ee, Home Bias in International Equity Portfolios: A Review, Working Paper, Leuven School of Business and Economics, 2007.

P. Sercu and R. Vanp-ee, Estimating the Costs of International Equity Investments, Review of Financial Studies, vol.12, issue.4, pp.587-634, 2008.

. Serrat, A Dynamic Equilibrium Model of International Portfolio Holdings, Econometrica, vol.69, issue.6, pp.1467-1489, 2001.
DOI : 10.1111/1468-0262.00254

C. Sims, Implications of rational inattention, Journal of Monetary Economics, vol.50, issue.3, 2001.
DOI : 10.1016/S0304-3932(03)00029-1

B. Solnik, An equilibrium model of the international capital market, Journal of Economic Theory, vol.8, issue.4, pp.500-524, 1974.
DOI : 10.1016/0022-0531(74)90024-6

L. Tesar and P. Rowland, Multinationals and the Gains from International Diversiication, Review of Economic Dynamics, vol.7, issue.4, pp.789-826, 2004.

A. Stathopoulos, Asset Prices and Risk Sharing in Open Economies, Review of Financial Studies, vol.30, issue.2, 2008.
DOI : 10.1093/rfs/hhw074

A. Stathopoulos, Portfolio Choice in Open Economies with External Habit Formation Working paper Columbia University, 2009.

A. Stockman and H. Dellas, International portfolio nondiversiication and exchange rate variability, Journal of International Economics, vol.26, pp.3-4, 1989.

A. C. Stockman and L. Tesar, Tastes and Technology in a Two Country Model of the Business Cycle: Explaining International Comovements, American Economic Review, vol.85, issue.1, pp.165-88, 1995.
DOI : 10.3386/w3566

R. M. Stulz, A model of international asset pricing, Journal of Financial Economics, vol.9, issue.4, pp.383-406, 1981.
DOI : 10.1016/0304-405X(81)90005-2

L. Tesar, Evaluating the gains from international risksharing, Carnegie-Rochester Conference Series on Public Policy, vol.42, issue.1, pp.95-143, 1995.
DOI : 10.1016/0167-2231(95)00030-4

L. Tesar and . M. Werner, Home bias and high turnover, Journal of International Money and Finance, vol.14, issue.4, pp.467-492, 1995.
DOI : 10.1016/0261-5606(95)00023-8

C. Tille and E. Van-wincoop, International Capital Flows, Journal of International Economics, 2008.

C. Tille and E. Van-wincoop, Disconnect and Information Content of International Capital Flows: Evidence and Theory, SSRN Electronic Journal, 2009.
DOI : 10.2139/ssrn.1362320

R. Uppal, A General Equilibrium Model of International Portfolio Choice, The Journal of Finance, vol.15, issue.2, pp.529-53, 1993.
DOI : 10.1111/j.1540-6261.1993.tb04726.x

S. Van-nieuwerburgh and L. Veldkamp, Information Immobility and the Home Bias Puzzle, The Journal of Finance, vol.60, issue.3, pp.1187-1215, 2009.
DOI : 10.1111/j.1540-6261.2009.01462.x

S. Van-nieuwerburgh and L. Veldkamp, Information Acquisition and Under-Diversification, Review of Economic Studies, vol.77, issue.2, pp.779-805, 2010.
DOI : 10.1111/j.1467-937X.2009.00583.x

E. Van-wincoop, How big are potential welfare gains from international risksharing?, Journal of International Economics, vol.47, issue.1, pp.109-135, 1999.
DOI : 10.1016/S0022-1996(98)00007-5

. Van-wincoop and F. Warnock, Is Home Bias in Assets Related to Home Bias in Goods?, Journal of International Money and Finance, 2008.