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.