Does home bias affect firm value? Evidence from holdings of mutual funds worldwide

• 成果类型: Article
• 署名作者: Chan, Kalok; Covrig, Vicentiu; Ng, Lilian
• 署名单位: California State University System; California State University Northridge; Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Milwaukee
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.04.006
• 发表日期: 2009
• 页码: 230-241
• 关键词: home bias; Mutual funds; risk sharing; Firm value

摘要

This study finds strong evidence that home bias affects firm valuation at both country and firm levels. At the country level, increasing the bias of domestic investors toward home equity lowers the market valuation of home equity. At the firm level, firm value increases as the compositions of local equities held by domestic and foreign investors tend toward the firms' global market capitalization weights, but decreases as their weights deviate from global weights. Overall, the evidence is consistent with the optimal global risk-sharing hypothesis that the greater risk sharing between domestic and foreign investors in international capital markets reduces the cost of capital and hence enhances market valuation. (C) 2009 Elsevier B.V. All rights reserved.