Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice

• 成果类型: Article
• 署名作者: Schumacher, David
• 署名单位: McGill University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx135
• 发表日期: 2018
• 页码: 1654
• 关键词: INFORMATION IMMOBILITY; individual investors; Mutual funds; INVESTMENT; familiarity; RISK; diversification; performance; geography; returns

摘要

In their foreign portfolio allocations, international mutual funds overweight industries that are comparatively large in their domestic stock market. Aggregate excess foreign industry allocations are sizeable, on average amounting to over 100% for the largest domestic industries. While this foreign industry bias partly reflects familiarity-based motives, a large body of evidence on investment and performance patterns is, on the whole, remarkably consistent with a specialized learning motive contributing to the bias. This suggests that differences in industry structures across domestic stock markets proxy for international information asymmetries.