Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors
研究德国个人投资者在市场不确定性增加时，因模糊厌恶而卖出不熟悉的远程股票、买入熟悉的本地股票，且这种“逃向熟悉”的程度随投资者对本地与远程股票预期收益的模糊性差异增大而增强，排除了信息优势导致的“主场优势”解释。
This paper investigates whether familiarity induced by ambiguity aversion can help explaining the local bias phenomenon among individual investors. Using geographic closeness as a proxy for investor familiarity, we find that investors pull out of (unfamiliar) remote stocks and pour into (familiar) local stocks during times of increased market uncertainty. Moreover, the magnitude of this ‘flight to familiarity’ increases in the spread of an investor's ambiguity (about expected returns) between local and remote stocks. Our results prove robust to a number of alternative explanations of local bias. Specifically, we rule out a ‘home-field advantage’, where investors are able to translate information advantages about nearby companies into excess returns on their local stockholdings. We conclude that individual investors’ local bias is induced by ambiguity aversion in the portfolio selection process rather than a trading strategy based on superior information about local companies.