Information Immobility and the Home Bias Puzzle, 
Stijn Van Nieuwerburgh and Laura Veldkamp
Journal of Finance, June 2009, v. 64(3), p.1187-1215 

ABSTRACT:

Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why doesn't global information access eliminate this asymmetry? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies information asymmetry. The model matches patterns of local and industry bias, foreign investments, portfolio out-performance and asset prices. Finally, we propose new avenues for empirical research.

 Stijn Van Nieuwerburgh 与 Laura Veldkamp是一对夫妇，他们在博士阶段都师从于萨金特教授，现在都任教于纽约大学斯特恩商学院，两人的研究领域都集中在金融学与宏观经济学。