Is there a home field advantage in global markets?

• 成果类型: Article
• 署名作者: Jagannathan, Murali; Jiao, Wei; Karolyi, G. Andrew
• 署名单位: State University of New York (SUNY) System; Binghamton University, SUNY; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.11.002
• 发表日期: 2022
• 页码: 742-770
• 关键词: International mutual funds; HOME BIAS; Mutual fund flows and performance; INFORMATION; trust

摘要

International equity mutual funds increasingly hire managers from countries linked to their geographic mandate. We show these funds with home-linked managers exhibit a strong bias to invest in stocks of the managers' home countries and attract more flows. Portfolios of stocks from countries in which a fund has a home-field advantage outperform those managed by funds without home-linked managers. We are unable to identify specific sources of an information advantage associated with the home-linked manager's performance. But an analysis of fund flows reveals a role of investor trust in home-linked managers earned primarily through past superior performance. (c) 2021 Elsevier B.V. All rights reserved.