The World Price of Home Bias

摘要：

Theoretical arguments suggest that as the degree of a country’s home bias (investors’ portfolios are weighted heavily towards domestic equity) increases, its cost of capital increases. Consistent with this prediction, we find international dierences 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 dierent measures of the cost of capital, we find that a unit decrease in a country’s home bias measure (defined as the log deviation of the domestic investors’ portfolio weight in the domestic market from the country’s 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 and Home Bias

作者: Sie Ting Lau Lilian Ng Bohui Zhang

作者单位: Nanyang Business School, Nanyang Technological University, Singapore Sheldon B.Lubar School of Business, University of Wisconsin, Milwaukee, P.O.Box 742, WI 53201-0742

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-46

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）