Abstract
This paper investigates the equity home bias phenomena applying an innovative return-based approach. In our empirical study, we analyze equity funds investing in European stocks which are domiciled in fifteen European countries. Since all funds share the investment universe they can be assessed against an identical pre-defined benchmark model. We study individual funds and domicile portfolios comprising funds which are domiciled in the same country. Our empirical findings reveal that four domicile portfolios show a significant home bias. Moreover, we observe five domiciles in which more than a fifth of individual funds exhibit a home bias. These results remain the same after controlling for the country allocation of the average fund and accounting for fund-specific benchmarks. Furthermore, we link home bias to market conditions and observe that our domicile portfolios were more likely to exhibit home bias during secure market conditions. Finally, focusing on fund performance we observe insignificant alphas, no matter if the funds are home-biased or not.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
