Investor Familiarity and Home Bias: Japanese Evidence
Investor Familiarity and Home Bias: Japanese Evidence
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投资者熟悉度和本土偏见：日本证据
DOI：
10.1007/s10690-005-4227-x
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发表时间：
2003
影响因子：
1.7
通讯作者：
F. Kuroki
中科院分区：
文献类型：
--
作者：
Takatoshi Hiraki;Akitoshi Ito;F. Kuroki
我们考察了在1985年至1998年的样本期间，外国和国内投资组合投资者(都被归类为基金经理)是如何投资于日本公司的。我们提出了机构熟悉度假说来解释这些机构投资者的投资行为，重点关注了两个公司层面的变量：市值和出口比率。这两种类型的机构投资者都过度投资于以公司规模衡量的熟悉公司，而每一种类型的机构投资者在出口比率方面都表现出相反的偏好模式。外国投资者在下半年变得更倾向于出口企业，而国内机构投资者的国内取向在相同的下半年变得具有统计学意义。由于客户投资者的地理位置不同，这两类熟悉的公司在出口活动方面的构成也不同。就对出口比率的敏感性而言，公司一级的本土偏见对这两类投资者来说都是显而易见的，特别是在最近几年，尽管国家一级的股权本土偏见已逐渐减轻。基于这些宏观和微观层面的结果，我们得出结论：无论基金经理的国籍如何，其投资行为都更符合机构熟悉性解释，而不是基于信息的解释。
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.