Matthew M Wynter




Education

The Ohio State University, Fisher College of Business                                     Columbus, OH 43210

Ph.D., Finance, expected in 2013

Master of Arts, Business Administration, 2011

 

George Mason University, School of Public Policy                                            Fairfax, VA 22030

Master of Arts, International Commerce and Policy, May 2008

 

University of North Carolina at Chapel Hill                                                     Chapel Hill, NC 27599

B.A., Economics, Political Science, August 2006

 

Areas of Interest

Research: Asset Allocation/Asset Pricing, International Finance, Corporate Governance, Behavioral Finance

Teaching: Investments, International Finance

 

Research

 

 “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.

 

 “Are fund flows priced?”

 

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?”