Using a panel data set of more than 600 Dutch pension funds (PFs) between 1992 and 2006, we investigate asset allocation behavior of Dutch PFs across multiple asset classes. We find that domestic investments, also known as home bias, in portfolio choices of Dutch institutional investors have fallen. We also find that the introduction of the euro, the dot-com crisis (1999–2001) and individual PF's characteristics are significant determinants of home bias. Overall, mature PFs’ portfolios are diversified internationally, whereas large PFs seem to prefer to only scale up their foreign, less-risky positions at the expense of domestic fixed-income positions. The effect of the dot-com crisis is more pronounced for domestic bonds, whereas the introduction of the euro was more important for domestic equities.

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European Journal of Finance
Erasmus School of Economics

Rubbaniy, G, van Lelyveld, I.P.P, & Verschoor, W.F.C. (2014). Home bias and Dutch pension funds’ investment behavior. European Journal of Finance, 20(11), 978–993. doi:10.1080/1351847X.2013.784206