Determinants of home bias: Evidence from European equity funds

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Details zur Publikation

Autor(en): Maier M, Scholz H
Jahr der Veröffentlichung: 2018
Sprache: Englisch


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.



FAU-Autoren / FAU-Herausgeber

Maier, Moritz
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Maier, M., & Scholz, H. (2018). Determinants of home bias: Evidence from European equity funds.

MLA:
Maier, Moritz, and Hendrik Scholz. Determinants of home bias: Evidence from European equity funds. 2018.

BibTeX: 

Zuletzt aktualisiert 2018-06-08 um 13:53