Home bias in international equity and debt holdings: A study of cross-border portfolio allocation
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- Master of Science 
We investigate home bias and the determinants of cross-border portfolio allocation on total, equity and debt portfolios across the 30 largest economies in the world based on GDP and economic openness. The thesis is based on data from the Coordinated Portfolio Investment Survey (CPIS) by the IMF, over the period 2001-2016. In our investigation of home bias, we find a declining trend throughout the period, except when there exist financial shocks to the economy. We find that the strongest drivers of cross-border portfolio allocation are the rational portfolio optimization factors. Indicating that investors aim to reallocate their portfolio and close the distance between actual weights and optimal weights following the ICAPM to achieve a diversified portfolio.
Master of Science in Finance/Master of Science in Business, Handelshøyskolen BI, 2018