Home bias at home: Local equity preference in domestic portfolios

• 成果类型: Article
• 署名作者: Coval, JD; Moskowitz, TJ
• 署名单位: University of Michigan System; University of Michigan; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00181
• 发表日期: 1999
• 页码: 2045-2073
• 关键词: STOCK RETURNS; equilibrium-model; capital-market; diversification; geography; CHOICE

摘要

The strong bias in favor of domestic securities is a well-documented characteristic of international investment portfolios, yet we show that the preference for investing close to home also applies to portfolios of domestic stocks. Specifically, U.S. investment managers exhibit a strong preference for locally headquartered firms, particularly small, highly levered firms that produce nontraded goods. These results suggest that asymmetric information between local and nonlocal investors may drive the preference for geographically proximate investments, and the relation between investment proximity and firm size and leverage may shed light on several well-documented asset pricing anomalies.