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The effects of portfolio size on international equity home bias puzzle

  • Ni, Jinlan
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    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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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4S50K9F-1/2/5fd390b0a4cbc0f967bfaed0ce4a504c
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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