Investor Familiarity and Home Bias: Japanese Evidence |
| |
Authors: | Hiraki Takato Ito Akitoshi Kuroki Fumiaki |
| |
Affiliation: | (1) Institute of Business and Accounting, Kwansei Gakuin University, Uegahara 1-1-155, Nishinomiya-shi, Hyogo-ken 662-8501, Japan;(2) Faculty of Administration, University of Regina, Regina, Saskatchewan, Canada, S4S OA2;(3) Nisse: Asset Management, Ohte-mach: 1-8-1, Chiyoda-ku, Tokyo 100-0004, Japan |
| |
Abstract: | We examine how foreign and domestic portfolio investors, both classified into money managers, invest in Japanese firms over the sample period of 1985–1998. We propose the agency-familiarity hypothesis to explain investment behavior of these institutional investors focusing on the two firm-level variables: market capitalization and export ratios. Both types of institutional investors over-invest in familiar firms measured in firm size while each shows opposite preference patterns with respect to the export ratios. The foreign investors become more export-firm oriented in the second-half sample and the domestic orientation of the domestic institutional investors becomes statistically significant during the same second-half. Because of the location difference of their client investors, the compositions of familiar firms are different between these two types with respect to the firm’s export activities. Home bias at the firm level in terms of the sensitivity to the export ratio is evident for both types of investors, especially, in more recent years, although equity home bias at the country level has been gradually mitigated. Based on these macro- and micro-level results, we conclude that the investment behavior of money managers is more consistent with the agency-familiarity explanation than the information-based explanation regardless of their nationalities. |
| |
Keywords: | foreign investors home bias institutional investors investor familiarity money managers the Japanese stock market |
本文献已被 SpringerLink 等数据库收录! |
|