Three essays in international macroeconomics: the phenomenon of preference for national securities and the quantity conundrum revisited.

Summary The first chapter studies the implications of a nested generation model with transaction costs on international portfolio diversification. Our results show that the introduction of very small transaction costs makes it possible to reproduce the phenomenon of preference for domestic financial securities. The second chapter analyzes the relationship between the domestic stock preference phenomenon, financial analysts' forecasts and earnings opacity. Using high-quality portfolio composition data and introducing a higher-order moment estimator, we confirm, improve and generalize the recent results obtained by Ahearne et al. (2004). First, we show that the accuracy of financial analysts' forecasts can help explain the lack of diversification observed in the composition of US portfolios. Second, we highlight the relationship between opacity measures and the phenomenon of domestic stock preference. In the third chapter, we revisit the quantity puzzle by developing an international model of delegated management cycles. In each country, shareholders hire managers and delegate hiring and investment decisions to them. We show that managers make intertemporal decisions in their own interest, including investment decisions, which have important consequences on the quantity puzzle. The model replicates the main stylized facts of international fluctuations.