Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan

Kang , Jun-Koo; Stulz, René M.

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Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan

The Charles A. Dice Center for Research in Financial Economics WPS# 96-15

Posted: 15 Jan 1997

See all articles by Jun-Koo Kang

Jun-Koo Kang

Nanyang Business School, Nanyang Technological University

René M. Stulz

Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

There are 2 versions of this paper

Date Written: Undated

Abstract

This paper studies stock ownership in Japanese firms by non-Japanese investors from 1975 to 1991. Existing models predicting that foreign investors hold national market portfolios or portfolios tilted towards high expected return stocks are inconsistent with our evidence. We document that foreign investors overweight shares of firms in manufacturing industries, large firms, firms with good accounting performance, firms with low unsystematic risk, and firms with high leverage. Controlling for size, there is evidence that small firms that export more, firms with greater turnover, and firms that have ADRs have greater foreign ownership.

JEL Classification: G15

Suggested Citation: Suggested Citation

Kang, Jun-Koo and Stulz, Rene M., Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan (Undated). The Charles A. Dice Center for Research in Financial Economics WPS# 96-15, Available at SSRN: https://ssrn.com/abstract=8041