Working Paper: CEPR ID: DP6721
Authors: Harald Hau; Hélène Rey
Abstract: This paper presents new stylized facts on the distribution of the home bias at the fund level. We find (i) a large heterogeneity in the degree of home bias across mutual funds; (ii) a positive correlation between the size of funds and home bias; and (iii) a positive correlation between the size of funds, the number of foreign countries and the number of sectors in which they invest. These facts constitute a challenge for existing theories.
Keywords: asset allocation; diversification; investment behaviour
JEL Codes: F37; G11; G15; G23
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| fund size (G23) | home bias (F23) |
| fund size (G23) | number of foreign countries and sectors invested (F21) |
| home bias (F23) | number of foreign countries and sectors invested (F21) |