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Information immobility, industry concentration, and institutional investors’ performance

Fedenia, Mark; Shafer, Sherrill; Skiba, Hilla - In: Journal of Banking & Finance 37 (2013) 6, pp. 2140-2159

This paper examines foreign institutional investors’ portfolio allocation and performance in US securities. We test how information immobility, proxied by information barriers between the investors’ home markets and the US, influences portfolio strategies. Consistent with theoretical...

Persistent link: https://www.econbiz.de/10010662602

Analyst forecasts and European mutual fund trading

Franck, Alexander; Kerl, Alexander - In: Journal of Banking & Finance 37 (2013) 8, pp. 2677-2692

This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information and whether this behavior impacts fund performance. Results show that mutual funds significantly increase (decrease) their holdings in stocks when any of the consensus forecast measures...

Persistent link: https://www.econbiz.de/10010679251

The home-institution bias

McQueen, Grant; Stenkrona, Anders - In: Journal of Banking & Finance 36 (2012) 6, pp. 1627-1638

We document a new investor preference we call the home-institution bias. Whereas the home-asset bias is a preference … for domestic assets, the home-institution bias is a preference for domestic financial institutions. Our data come from … explanation because the home-institution bias is strongest among financially-unsophisticated and provincial investors. …

Persistent link: https://www.econbiz.de/10010693385

Investor sophistication and risk taking

de Dreu, Jan; Bikker, Jacob A. - In: Journal of Banking & Finance 36 (2012) 7, pp. 2145-2156

Using investment policy data of 857 Dutch pension funds during 1999–2006, we develop three indicators of investor sophistication. The indicators show that pension funds’ strategic portfolio choices are often based on coarse and less sophisticated approaches. First, most pension funds round...

Persistent link: https://www.econbiz.de/10010577972

The home bias is here to stay

Levy, Haim; Levy, Moshe - In: Journal of Banking & Finance 47 (2014) C, pp. 29-40

Over the last 15years, dramatically decreasing foreign investment costs have not reduced the home bias. We show that … the home bias induced by a given cost is proportional to the factor ρ/(1−ρ), where ρ is the average correlation between … magnified, explaining the persistence of the home bias, and predicting its continuation. …

Persistent link: https://www.econbiz.de/10011065679

Domestic investor protection and foreign portfolio investment

Giofré, Maela - In: Journal of Banking & Finance 46 (2014) C, pp. 355-371

This paper investigates the impact of domestic investor protection on equity cross-border investment. We bring to light the lower sensitivity of foreign investment to destination countries’ corporate governance for those investors enjoying a higher degree of investor protection at home. This...

Persistent link: https://www.econbiz.de/10010907104

International diversification gains and home bias in banking

García-Herrero, Alicia; Vázquez, Francisco - In: Journal of Banking & Finance 37 (2013) 7, pp. 2560-2571

observed international expansion strategies. The paper also finds a substantial home bias in the international allocation of …

Persistent link: https://www.econbiz.de/10011065639

The flow-performance relationship around the world

Ferreira, Miguel A.; Keswani, Aneel; Miguel, Antonio F.; … - In: Journal of Banking & Finance 36 (2012) 6, pp. 1759-1780

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund...

Persistent link: https://www.econbiz.de/10010574850

Rehabilitating the role of active management for pension funds

Aglietta, Michel; Brière, Marie; Rigot, Sandra; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2565-2574

Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990–2008, and we test the role of...

Persistent link: https://www.econbiz.de/10010599652

Style chasing by hedge fund investors

Horst, Jenke ter; Salganik, Galla - In: Journal of Banking & Finance 39 (2014) C, pp. 29-42

This paper examines whether investors chase hedge fund investment styles. We find that better-performing and more popular styles are rewarded with higher inflows in subsequent periods. This indicates that investors compare hedge fund styles in terms of recent performance and popularity, and they...

Persistent link: https://www.econbiz.de/10010730423

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