216th Seminar on Finance and Accounting

 

Time:July 8, 2016(Friday)10:30-1130

 

Venue:Room 513, Jiageng Bld 2

 

Topic:The Causes and Consequence of Fund Level Home Bias

 

PresenterMing Liu, Professor of Finance, International University of Japan

 

Chair:Tony Ruan, Assistant Professor of Finance, Xiamen University

 

Abstract:

 

We examine the causes and consequence of fund level home bias using a sample of U.S. global equity mutual funds. We show that home bias at the fund level is much smaller than at the country level. Raw returns do not vary much across funds with the different level of home bias measured by their portfolio weights in U.S. domestic stocks. However, risk-adjusted returns adjusted by the global six (Fama-French five plus momentum) factors show that funds invested more in the U.S. home-market outperform those more invested in the international markets. Fund managers with foreign educational background invest less in U.S. stocks, but record poor risk adjusted performance. More home-biased female and less home-based MBA degree holding fund managers also tend to deliver poor risk adjusted returns. Overall, our finding is consistent with both information and behavioral hypotheses, depending on fund’s and manager’s home bias characteristics. Finally, we show that differently characterized global funds commonly exhibit flight home behavior during the 2007-2008 financial crisis.

 

Presenter Introduction

 

Professor Liu Ming received his ph.d in finance from New York State university at Binghamton. He is currently teaching at International University of Japan. His research interests include market efficiency and mutual funds. He has published papers in Journal of International Money and Finance, Journal of Banking and Finance and Financial Review.        


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