How Global Is Your Mutual Fund? International Diversification from Multinationals

• 成果类型: Article
• 署名作者: Demirci, Irem; Ferreira, Miguel A.; Matos, Pedro; Sialm, Clemens
• 署名单位: Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Virginia; University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab103
• 发表日期: 2022
• 页码: 3337
• 关键词: home bias; ILLIQUIDITY PREMIUM; performance; GLOBALIZATION; governance; liquidity; investors; benefits

摘要

We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. The international exposure of domestic funds increases, on average, by 32 percentage points when we consider international corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross-section and the time series. This effect is primarily driven by the fund managers' ability to invest in multinationals, rather than the performance of those multinationals. Our findings support the hypothesis that international diversification from multinationals reduces the transaction and information costs of investing abroad.