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The portfolio holdings of euro area investors: Looking through investment funds

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  • Carvalho, Daniel

Abstract

Studies of bilateral portfolio holdings typically consider investment fund shares as equity instruments, failing to take into consideration the true exposures of investors. Using detailed information of euro area investment fund assets, estimates of actual euro area investors' exposures are determined, at the sectoral level, expunging the bias introduced by investment funds. These estimates unveil a different instrument composition with a higher proportion of exposure to debt securities, a higher level of cross-border financial positions and lower home bias, and, in particular, a higher exposure to other advanced economies. In this sense, investment funds can be seen as vehicles for the portfolio diversification of domestic euro area investors.

Suggested Citation

  • Carvalho, Daniel, 2022. "The portfolio holdings of euro area investors: Looking through investment funds," Journal of International Money and Finance, Elsevier, vol. 120(C).
    • Handle: RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001704
    DOI: 10.1016/j.jimonfin.2021.102519
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    Cited by:

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    2. Martijn Boermans & Ian Cooper & Piet Sercu & Rosanne Vanpée, 2022. "Foreign bias in equity portfolios: Informational advantage or familiarity bias?," Working Papers 742, DNB.
    3. Kliatskova, Tatsiana & Savatier, Loïc Baptiste & Schmidt, Michael, 2023. "Insolvency regimes and cross-border investment decisions," Journal of International Money and Finance, Elsevier, vol. 131(C).
    4. Lambert, Claudia & Molestina Vivar, Luis & Wedow, Michael, 2024. "Is home bias biased? New evidence from the investment fund sector," Working Paper Series 2924, European Central Bank.
    5. Daniel Carvalho & Martin Schmitz, 2023. "Shifts in the portfolio holdings of euro area investors in the midst of COVID‐19: Looking‐through investment funds," Review of International Economics, Wiley Blackwell, vol. 31(5), pages 1641-1687, November.
    6. Milan Szabo, 2023. "Cyclical Investment Behavior of Investment Funds: Its Heterogeneity and Drivers," Working Papers 2023/5, Czech National Bank.
    7. Daniel Carvalho & Martin Schmitz, 2024. "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum," International Finance, Wiley Blackwell, vol. 27(3), pages 203-230, December.
    8. Martijn Boermans, 2022. "A literature review of securities holdings statistics research and a practitioner’s guide," Working Papers 757, DNB.

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    More about this item

    Keywords

    Bilateral portfolio holdings; Investment funds; Gravity models; Home bias;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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