ABSTRACT

The home bias phenomenon is a widely investigated puzzle that is still not completely resolved. Home bias is the tendency of investors to invest excessively in domestic assets, in contradiction to the traditional optimal portfolio theories. This research attempts to unveil some of the underlying drivers behind this phenomenon. We examine the relationship between home bias and the level of risk in the portfolio, the percentage of the portfolio invested in ETFs (exchange traded funds), and the investor type (institutional vs. individual). To do so, we use monthly data from the Israeli market from January 2007 to March 2018. This study is the first to investigate the relationship between home bias and the use of ETFs as a global diversification tool. ETFs have become one of the most widespread passive investment instruments for both individual and institutional investors. Our findings show that institutional investors experience less home bias compared to individual investors. Second, an increase in the level of risk in the portfolio causes an increase in home bias. Finally, the use of ETFs has a negative relationship with home bias.

摘要

家庭偏见现象是一个被广泛研究的难题，至今仍未完全解决。家庭偏见是投资者倾向于过度投资于国内资产的趋势，这与传统的最优投资组合理论相反。这项研究试图揭示这种现象背后的一些潜在驱动因素。我们研究了家庭偏向与投资组合中的风险水平，投资于ETF的投资组合百分比（交易所交易基金）以及投资者类型（机构与个人）之间的关系。为此，我们使用了2007年1月至2018年3月以色列市场的月度数据。这项研究是首次调查家庭偏见与ETF作为全球多元化工具的使用之间的关系。ETF已成为针对个人和机构投资者的最广泛的被动投资工具之一。我们的研究结果表明，与个人投资者相比，机构投资者的住房偏向较少。第二，投资组合风险水平的提高导致房屋偏向的增加。最后，ETF的使用与本国偏好具有负面关系。