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The effects of portfolio size on international equity home bias puzzle

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  • Ni, Jinlan
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    Abstract

    This paper investigates a new explanation for the international equity home bias puzzle based on an endogenous asymmetric information model. Using a cross-sectional mutual fund data set, it is found that the degrees of home bias across fund managers are negatively correlated to the asset sizes under their management. This result is consistent with the theoretical prediction in the endogenous asymmetric information model--the portfolio managers with the larger assets tend to acquire more information regarding foreign equity and, hence, hold more foreign equity holdings.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 18 (2009)
    Issue (Month): 3 (June)
    Pages: 469-478

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    Handle: RePEc:eee:reveco:v:18:y:2009:i:3:p:469-478

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    Web page: http://www.elsevier.com/locate/inca/620165

    Related research

    Keywords: Equity home bias Asymmetric information Mutual fund;

    References

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    Cited by:
    1. Pham, Cong S. & Lovely, Mary E. & Mitra, Devashish, 2014. "The home-market effect and bilateral trade patterns: A reexamination of the evidence," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 120-137.
    2. Diyarbakirlioglu, Erkin, 2011. "Domestic and foreign country bias in international equity portfolios," Journal of Multinational Financial Management, Elsevier, vol. 21(5), pages 301-329.
    3. Diyarbakirlioglu, Erkin, 2011. "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 12(4), pages 485-509.

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