Home bias and the returns of strategic portfolios: Neither always so good nor so bad

Fernando Vega-Gámez and Pablo J. Alonso-González

Journal of Behavioral and Experimental Finance, 2024, vol. 42, issue C

Abstract: Home Bias is a phenomenon that has been sufficiently addressed from many different perspectives, such as active management or structural investment constraints. However, there is little work about the economic effects of these situations. This work aims to quantify the impact of this effect on the returns of a set of strategic portfolios with the same allocation between fixed income and equity assets. The statistical information includes the daily values of all indices for the 2004–2021 period. Returns have been calculated for investment time horizons of between 5 and 15 years. Quantile regressions have been used to assess changes in returns in response to changes in portfolio composition. The results suggest that over-investment in local assets is not always positive and dependent on the local index selected.

Keywords: Home bias; Quantile regression; Strategic portfolios; Return (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:42:y:2024:i:c:s221463502400042x

DOI: 10.1016/j.jbef.2024.100927

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