Foreign bias in Australian-domiciled mutual fund holdings

Anil Mishra ()

Pacific-Basin Finance Journal, 2016, vol. 39, issue C, 101-123

Abstract: The paper employs International Capital Asset Pricing (ICAPM), Mean-variance, Global minimum variance, Bayes–Stein, Bayesian and Multi-prior models to develop foreign equity bias measures for 1414 Australian domiciled mutual funds, which invest in 41 countries worldwide. The Bayesian foreign equity measures, which take into account various degrees of mistrust in ICAPM, suggest that Australian domiciled mutual funds prefer investing in US, UK, Japan, France and Germany. The plausible sources of foreign equity bias are found to be GDP per capita, GDP growth rate, exchange rate volatility, tax, stock market development, familiarity, institution and stock characteristic variables.

Keywords: Foreign bias; Mutual fund holdings; Bayesian; ICAPM; Multi-prior; Bayes–Stein (search for similar items in EconPapers)
Date: 2016
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Related works:
Working Paper: Foreign Bias in Australian Domiciled Mutual Fund Holdings (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:39:y:2016:i:c:p:101-123

DOI: 10.1016/j.pacfin.2016.06.004

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