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, InternationalUniversity of Japan 

主持人：Tony Ruan, AssistantProfessor of Finance, Xiamen University 

论文摘要： 

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

 报告人简介： 

ProfessorLiu Ming received his ph.d in finance from New York State university atBinghamton. He is currently teaching at International University of Japan. Hisresearch interests include market efficiency and mutual funds. He has publishedpapers in Journal of International Moneyand Finance, Journal of Banking and Finance and Financial Review.