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DP6721 Home Bias at the Fund Level

Author(s): Harald Hau , Hélène Rey
Publication Date: March 2008
Keyword(s): asset allocation , diversification , investment behaviour
JEL(s): F37 , G11 , G15 , G23
Programme Areas: Financial Economics , International Macroeconomics
Link to this Page: www.cepr.org/pubs/dps/DP6721.asp


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.

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