Working Paper: NBER ID: w14172
Authors: Harald Hau; Helene 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: home bias; mutual funds; international investment
JEL Codes: F21; G15
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 (F14) |
| Fund Size (G23) | Number of Foreign Countries (F29) |
| Fund Size (G23) | Number of Sectors (C69) |
| Home Bias (F14) | Heterogeneity in Mutual Funds (G23) |
| Mean Degree of Home Bias (F29) | Aggregate Home Bias (C43) |