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Home Biasness & International Diversification: Are The Benefits of International Diversification Starting to Deteriorate?
Karlstad University.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Home Biasness & Internationell Diversifiering : Börjar Fördelarna med Internationell Diversifiering Sina? (Swedish)
Abstract [en]

Is home biasness common among modern investors? To which extent do Swedish

investors diversify their investments on an international level? Does home biasness

negatively affect the investors performance? To answer these questions, correlation

tests of various international indices ranging over four different time periods are

conducted, in order to see if correlation between markets are stronger today than

before, as stronger correlation would render diversification less useful. To enhance the

study, the holdings of the top ten Swedish funds, measured in fund capital according

to Morningstar, is reviewed, based on data collected per 2014-12-31 from the Swedish

Financial Supervisory Agency (FI). This gives an overview of how the funds diversify

their investments internationally, these funds will in turn represent the average

Swedish investor in the thesis. By constructing a bullet curve from a set of international

indices, the author will analyse to which grade international diversification is useful.

The results are that international diversification isn’t as beneficial as theory suggests

it is. The reason for it may be due to stronger correlation between international

markets in the past 15 years. Most of the Swedish funds tends to be rather home biased

in their investments, as about a quarter of the holdings usually are placed in Swedish

assets, and in accordance with the results of the indices development, the more home

biased they are to Sweden, the better they tend to perform.

Abstract [sv]

Hur vanligt är egentligen home biasness hos den moderna investeraren? Till vilken

grad diversifierar egentligen den vanliga Svenska investeraren sina tillgångar

internationellt? Påverkar en eventuellt inhemskt investeringsfilosofi investeraren

negativt? Korrelationstester för olika världsindex kommer utföras, så att en

överskådade blick kan fås över hur världsmarknader rör sig allt mer symmetriskt, då

starkare symmetri mellan marknader minskar nyttan av internationell diversifiering.

Data om innehav från Sveriges topp tio fonder, sett till fondförmögenhet utifrån

Morningstar, har samlats från finansinspektionen per 2014-12-31. Dessa fonder ska

representera den typiske Svenska investeraren och dess diversifieringsvanor. Genom

att ha samlat data från ett flertal internationella index har effektiv front samt en fiktiv

kombination av index skapats för att få fram huruvida avkastning i relation till risk

ökar genom internationell diversifiering. Denna kombination av index jämförs sedan

mot utveckling av en handfull internationellt samlade index för att se om diversifiering

förbättrar avkastningen i relation till risk. Resultatet säger att det index som är mest

diversifierade inte är så gynnsamt som teorin påstår. Anledningen till detta kan bero

på den ökade korrelationen bland aktiemarknader idag jämfört med för 15 år sedan.

De flesta Svenska fonderna har en större andel av sitt innehav i Svenska värdepapper

och överlag, förutom diverse undantag, så har det gynnat dessa fonder i avkastning

sett till risk.

Place, publisher, year, edition, pages
2016. , 37 p.
Keyword [en]
Financial Economics, International Diversification, Home Bias, Efficient Frontier
Keyword [sv]
Finansiell Ekonomi, Internationell Diversifiering, Home Bias, Efficient Frontier
National Category
Economics
Identifiers
URN: urn:nbn:se:kau:diva-41041OAI: oai:DiVA.org:kau-41041DiVA: diva2:912227
Subject / course
Economics
Educational program
Business Administration and Economics, 180 hp
Supervisors
Examiners
Available from: 2016-04-22 Created: 2016-03-15 Last updated: 2016-04-22Bibliographically approved

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