Determinants of home bias: Evidence from European equity funds

Maier M, Scholz H (2019)


Publication Language: English

Publication Type: Other publication type

Publication year: 2019

DOI: 10.2139/ssrn.3354503

Abstract

This paper analyzes the determinants of home bias in European equity funds based on

monthly holdings data. We analyze 694 funds that invest in European stocks which are

domiciled in fifteen countries from January 2002 to December 2016. In our empirical

analysis, we find evidence of home bias for most of our sample funds during their lifetime

and in most domiciles. Results indicate that macroeconomic development, stock market

development and fund-specific characteristics like European recessions, the twelve month

lagged cumulative country return and fund age have, on average, a significant influence on

the home bias over time. Based on quantile regressions, we find that some of those effects are

depending on the level of home bias. Furthermore, we examine the impact of home bias on

the performance of funds. Results indicate that home bias is rather due to informational

advantages than to familiarity reasons.

 

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How to cite

APA:

Maier, M., & Scholz, H. (2019). Determinants of home bias: Evidence from European equity funds.

MLA:

Maier, Moritz, and Hendrik Scholz. Determinants of home bias: Evidence from European equity funds. 2019.

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