Matthew M Wynter
Ohio State University, Fisher College of Business Columbus, OH 43210
Ph.D., Finance, expected in 2013
Master of Arts, Business Administration, 2011
Mason University, School of Public Policy Fairfax, VA 22030
Master of Arts, International Commerce and Policy, May
of North Carolina at Chapel Hill Chapel Hill, NC 27599
B.A., Economics, Political Science, August 2006
Research: Asset Allocation/Asset Pricing, International
Finance, Corporate Governance, Behavioral
Teaching: Investments, International Finance
“Why did the
equity home bias decrease during the financial panic of 2008?” (Job Market Paper)
Theories of home bias and of portfolio choice under
uncertainty both predict that the home bias should increase during a financial
crisis. In contrast to these theories, using a sample of 45 countries, I
document that the equity home bias fell during the financial panic of 2008.
Employing a novel methodology to disentangle the active and passive component
of portfolio holdings, I find that the trades of investors (the active
component) increased the home bias, but the changes due to returns and exchange
rates (the passive component) subsumed the active changes and reduced the home
bias. Across countries, the change in home bias is consistent with portfolio
rebalancing, increased information asymmetries, and familiarity bias during the
crisis. The U.S. is the exception to the general global pattern because U.S.
active changes outweighed U.S. passive changes, causing the U.S. home bias to
increase. I show that U.S. investors reduced their holdings of foreign and
domestic stocks, but reduced their holdings of foreign stocks at a higher rate.
I examine the pricing of aggregate portfolio flows
between the U.S. and foreign markets in the cross-section of U.S. returns.
Using portfolio flows collected by the U.S. Department of Treasury, I measure net
equity flows between U.S. residents and foreign investors, scaled by U.S. holdings
of foreign stocks and foreign holdings of U.S. stocks. I document a positive
relation between sensitivity to innovations in net equity flows and the cross-section
of expected returns. The relation is not
subsumed by sensitivity to U.S. market returns, SMB, or HML factors. I find
that stocks with higher sensitivities to innovations in foreign investors’ net
purchase of U.S. equity earn a negative premium; a result consistent with the
U.S. serving as a global safe haven.
Work in progress
“How has the U.S. foreign portfolio share increased?”