Maier M, Scholz H (2019)
Publication Language: English
Publication Type: Other publication type
Publication year: 2019
DOI: 10.2139/ssrn.3354503
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.
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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