The World Price of Home Bias

摘要：

Theoretical arguments suggest that as the degree of a countrys home bias (investors portfolios are weighted heavily towards domestic equity) increases,its cost of capital increases. Consistent with this prediction,we find international differences in the cost of capital to be strongly and positively related to the varying degrees of home bias across our sample of 38 countries. This finding is robust,even after controlling for traditional risk proxies and country-specific variables. Using three different measures of the cost of capital,we find that a unit decrease in a countrys home bias measure (defined as the log deviation of the domestic investors portfolio weight in the domestic market from the countrys market capitalization share in the world portfolio) can help reduce the aggregate cost of capital of the country by about 18 to 25 basis points.

关键词： Mutual Funds Holdings the Cost of Capital Home Bias

作者: Sie Ting Lau Lilian Ng Bohui Zhang

作者单位: from the Nanyang Business School,Nanyang Technological University,Singapore,and Ng is from Sheldon B from the Nanyang Business School,Nanyang Technological University,Singapore,and Ng is from Sheldon B

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）