DP6721 Home Bias at the Fund Level

Author(s): Harald Hau, Hélène Rey
Publication Date: March 2008
Keyword(s): asset allocation, diversification, investment behaviour
JEL(s): F37, G11, G15, G23
Programme Areas: International Macroeconomics, Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=6721

This paper presents new stylized facts on the distribution of the home bias at the fund level. We find (i) a large heterogeneity in the degree of home bias across mutual funds; (ii) a positive correlation between the size of funds and home bias; and (iii) a positive correlation between the size of funds, the number of foreign countries and the number of sectors in which they invest. These facts constitute a challenge for existing theories.