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What Drives Home Bias? Evidence from Fund Managers Views

Torben Lütje and Lukas Menkhoff
Authors registered in the RePEc Author Service: Torben Luetje ()

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: A survey of fund managers reveals home bias for these sophisticated investors in an unrestricted setting. Proximity, perceived informational advantage and higher expected returns are confirmed as accompanying factors. In addition, the home bias of equity managers is also related to institutional, informational and behavioral characteristics. The perceived informational advantage does not seem to be valid. Multivariate analyses indicate that home bias is mainly related to relative return optimism, non-fundamental information and peculiar behavior towards risk. We interpret these as characteristics of less than fully rational behavior. It is consistently found that this pattern does not apply to bond managers.

Keywords: Home bias; institutional investors; local information advantage; non-fundamental information; disposition effect (search for similar items in EconPapers)
JEL-codes: F30 G15 G23 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2004-05
New Economics Papers: this item is included in nep-cbe
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Citations: View citations in EconPapers (5) Track citations by RSS feed

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Journal Article: What drives home bias? Evidence from fund managers' views (2007) Downloads
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