Home Bias at the Fund Level
American Economic Review P&P, Vol. 98(2) (May 2008), 333-338
with Hélène Rey
Abstract
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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