时间：2016年7月8日（周五）10:30-11：30
地点：嘉庚二号楼513教室
题目：The Causes and Consequence of Fund Level Home Bias
报告人：Ming Liu, Professor of Finance, International University of Japan
主持人：Tony Ruan, Assistant Professor of Finance, Xiamen University
论文摘要：
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.
报告人介绍：
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.
