Foreign Bias in Australian Domiciled Mutual Fund Holdings

Anil Mishra ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper develops foreign equity bias measures for Australian domiciled mutual funds, which invest in 41 countries worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. The Bayesian measures that take into account various degrees of mistrust in ICAPM have lower values of foreign equity bias as compared to ICAPM. The Bayesian measures suggest that Australian domiciled mutual funds prefer investing in U.S., U.K., Japan and other developed countries. Paper finds that the plausible sources of foreign equity bias are GDP per capita, exchange rate volatility, foreign listing, tax credit, global financial crisis and stock market development, familiarity, institution and stock characteristic variables. There are policy implications associated with foreign bias.

Keywords: Mutual Fund; Foreign Bias; Mean-Variance; Minimum Variance; Bayes-Stein; Bayesian; Multi-Prior. (search for similar items in EconPapers)
JEL-codes: F39 G11 G15 (search for similar items in EconPapers)
Date: 2015-01-31
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Related works:
Journal Article: Foreign bias in Australian-domiciled mutual fund holdings (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:63376

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