|Date:||04 November 2019|
|Author:||dr. Auke Plantinga|
I have very broad research interests, ranging from topics in behavioral and household finance, to asset pricing and performance measurement.
For the next semester I am interested in supervising master theses on Value Investing and Regional Investing.
Value investing or dividend investing is a classic investment strategies going back to Graham and Dodd. I would be interested in any thesis proposal discussing questions like:
- Is value investing an insurance against recessions?
- Is the value premium a risk premium (as suggested by Fama and French) or is it a symptom of market irrationality?
- Is it easier to have selection skills for a mutual fund managers in value stocks or in growth stocks?
There is a substantial literature documenting that investors have a so-called home bias, they tend to invest a lot in domestic investments or even regional investments. This literature fits into a school of thinking where domestic and/or regional investing is considered a 'bad' thing, that is done only by naïve investors. For instance, in a classic and often cited study, Solnik (1974) emphasizes the importance of foregone diversification opportunities when investors have a home bias.
However, there are also benefits to regional investing (see my blog on regional investing). Investors may be more informed about regional companies, and regional investors may also be more loyal investors. I would like to supervise a thesis that studies the performance of a regionally orierend portfolios. In particular, I would like to see whether a portfolio of companies exclusively active in only one region of the Netherlands has a different performance as compared to an internationally diversiefied portfolio. The criterion for measuring activeness should be based on the number of employees working in let's say the Northern Netherlands (Friesland, Groningen, Drenthe). I suspect that a porfolio like that would be much more diversified than expected, as there are many internationally operating firms in the Northern Netherlands.
Brown, Jeffrey R., Zoran Ivkovic, Paul A. Smith, and Scott Weisbenner, 2008, ‘Neighbors matter: causal community effects and stock market participation’, Journal of Finance, Vol. 63, No. 3, pp. 1509-1531.
Cavaglia, Diermeier, Moro and De Zordo, 2004, ‘Investing in global equities’, Journal of Portfolio Management, Spring 2004, pp. 88-94.
Doukas, John A., and Ozgur B. Kan, 2006, ‘Does global diversification destroy firm value?’, Journal of International Business Studies, Vol. 37, pp. 352-371.
French, K.R., and J.M. Poterba, 1991, ‘Investor diversification and international equity markets’, American Economic Review, Vol. 81, No. 2, pp. 222-226.
Heathcote and Perri, 2013, ‘The international diversification puzzle is not as bad as you think’, Journal of Political Economy, Vol. 121, No. 6, pp.
Huberman, G., 2001, ‘Familiarity breeds investment’, Review of Financial Studies, Vol. 14, No. 3, pp. 659-680.
Seasholes, Mark S., and Ning Zhu, 2010, ‘Individual investors and local bias’, Journal of Finance, Vol. 65, No. 5, pp. 1987-2009.
Solnik, Bruno H., 1974, ‘Why Not Diversify Internationally Rather Than Domestically?’, Financial Analysts Journal, Vol. 30, No.4, pp. 48-52.
Statman, Meir, 1987, ‘How many stocks make a diversified portfolio?’, Journal of Financial and Quantitative Analysis, Vol. 22, No. 3, pp. 353-363.