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GCAP Public Security-Level Data on U.S. Fund Holdings

Author

Listed:
  • Cavani, Bruno
  • Maggiori, Matteo

    (Stanford University)

  • Schreger, Jesse

Abstract

We construct representative security-fund-level longitudinal data for the United States using regulatory filings of portfolio holdings from Form N-PORT. We validate our dataset by comparing coverage and composition to official statistics from the Federal Reserve's Financial Accounts of the United States (formerly known as the Flow of Funds) and Treasury International Capital (TIC) System, and to micro-level commercial datasets such as Morningstar. We showcase an application by replicating and updating Maggiori, Neiman and Schreger (2020) findings on home currency bias using N-PORT instead of commercial fund holdings data. Our results confirm that N-PORT data offer a comprehensive, reliable, and public alternative to commercial datasets for research in macroeconomics and finance. We make all the security-level data on holdings available in a public repository of the GCAP Lab and provide code for updating the data.

Suggested Citation

  • Cavani, Bruno & Maggiori, Matteo & Schreger, Jesse, 2025. "GCAP Public Security-Level Data on U.S. Fund Holdings," SocArXiv ex4vb_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:ex4vb_v1
    DOI: 10.31219/osf.io/ex4vb_v1
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    References listed on IDEAS

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    1. is not listed on IDEAS
    2. Roland Beck & Antonio Coppola & Angus Lewis & Matteo Maggiori & Martin Schmitz & Jesse Schreger, 2024. "The geography of capital allocation in the euro area," IFC Bulletins chapters, in: Bank for International Settlements (ed.), External statistics in a fragmented and uncertain world, volume 62, Bank for International Settlements.
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    JEL classification:

    • F3 - International Economics - - International Finance
    • G0 - Financial Economics - - General

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