(Country) Home bias in Italian occupational pension funds asset allocation choices

This paper expands the current literature on home bias and in country home bias especially, in five ways:(a) it analyzes an unexamined market, that of Italian occupational pension funds; (b) it considers threeasset classes: government securities, corporate bonds and equities; (c) it examines the choices madeby professional managers; (d) it checks whether the presence of Italian home bias is influenced by thebenchmark or not and (e) it examines whether Italian home bias influences Italian asset managers andif it is also identifiable in the case of coacting management in the presence of one or more Italian assetmanagers. The results obtained demonstrate that home bias is a phenomenon that can be argued to existin Italian occupational pension fund asset manager’s asset allocation. The results of this research tend toshow that when the asset manager is Italian, single or coacting, the choice falls on Italian asset classes.Finally, the home bias phenomenon could be considered an element for containing volatility in the pricesof government securities, corporate bonds and equities because of the constant demand created on themarket by the asset managers affected by this bias.