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A Return-Based Approach to Identify Home Bias of European Equity Funds
Maier, Moritz - 2018
This paper introduces a return-based approach to studying a possible home bias of equity funds by estimating their … in a particular country. Our findings reveal that the portfolios of four domiciles show a significant home bias. Moreover …. Finally, a home bias of individual funds is not related to superior performance, but actually results in higher investment …
Persistent link: https://www.econbiz.de/10012936446
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As American as Apple Inc. : international tax and ownership nationality
Sanchirico, Chris William - 2014
The ownership nationality of large US multinational companies plays an implicit but important role in the current debate over how such companies should be taxed. This paper identifies that role and investigates what is actually known about where these companies’ shareholders reside
Persistent link: https://www.econbiz.de/10011387732
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Determinants of Home Bias : Evidence From European Equity Funds
Maier, Moritz - 2019
This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile … from January 2003 to December 2016. More than ninety percent of our sample funds show, on average, a home bias. In addition …, the home bias across funds is quite stable over time. Analyzing the determinants of this home bias, our empirical results …
Persistent link: https://www.econbiz.de/10012890440
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Beyond Home Bias : Foreign Portfolio Holdings and Information Heterogeneity
De Marco, Filippo - 2020
We provide new evidence that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate...
Persistent link: https://www.econbiz.de/10012853249
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Beyond Home Bias : Foreign Portfolio Holdings and Information Heterogeneity
De Marco, Filippo - 2020
We provide new evidence that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate...
Persistent link: https://www.econbiz.de/10012853652
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Home Bias Abroad : Domestic Industries and Foreign Portfolio Choice
Schumacher, David - 2017
100% for the largest domestic industries. While this foreign industry bias partly reflects familiarity-based motives, a … learning motive contributing to the bias. This suggests that differences in industry structures across domestic stock markets …
Persistent link: https://www.econbiz.de/10012973329
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International Diversification with Factor Funds
Eun, Cheol S. - 2015
We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market...
Persistent link: https://www.econbiz.de/10013038773
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Capital Flows : the Role of Fund Manager Portfolio Reallocation
Bush, Georgia - 2020
Global open-ended mutual funds are an increasingly important source of capital for emerging market economies (EMEs). Mutual funds, however, have a greater propensity than other overseas investors to change their holdings of EME bonds following changes in macroeconomic conditions. This paper...
Persistent link: https://www.econbiz.de/10012822625
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Emerging market capital flows: the role of fund manager portfolio allocation
Bush, Georgia; Cañón, Carlos Iván; Gray, Daniel - 2021
We exploit individual security holdings data for global mutual funds to distinguish between two reasons why a fund's holdings of emerging market economy (EME) bonds might change: (i) the amount invested in the fund changes and (ii) the fund manager changes portfolio allocations. We find that...
Persistent link: https://www.econbiz.de/10012625521
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Global portfolio rebalancing and exchange rates
Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018
We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...
Persistent link: https://www.econbiz.de/10011875988