全球智库信息集成服务系统(G2TT): Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w5166
来源ID	Working Paper 5166
	Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan
	Jun-Koo Kang; Rene M. Stulz
发表日期	1995-07-01
出版年	1995
语种	英语
摘要	This paper uses data on foreign stock ownership in Japan from 1975 to 1991 to examine the determinants of the home bias in portfolio holdings. Existing models of international portfolio choice predicting that foreign investors hold national market portfolios or portfolios tilted towards high expected return stocks are inconsistent with the evidence provided in this paper. We document that foreign investors overweight shares of firms in manufacturing industries, large firms, firms with good accounting performance, firms with low unsystematic risk, and firms with low leverage. Controlling for size, there is evidence that small firms that export more have greater foreign ownership. Foreign investors do not perform significantly worse than if they held the Japanese market portfolio, however. After controlling for firm size, there is no evidence that foreign ownership is related to expected returns of shares. We show that a model with size-based informational asymmetries and deadweight costs can yield asset allocations consistent with our evidence.
URL	https://www.nber.org/papers/w5166
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/562609
推荐引用方式 GB/T 7714	Jun-Koo Kang,Rene M. Stulz. Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan. 1995.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w5166.pdf（605KB）	智库出版物		限制开放	CC BY-NC-SA	浏览