This paper examines the well-known equity home bias puzzle in international macroeconomics by exploiting the cross-sector variation. Combining unique financial datasets, I introduce a novel sectoral home bias index that covers 27 industries in 43 countries, which enables empirical and...

This paper examines the well-known home bias puzzle in international finance by exploiting the cross-sector variation. Using unique financial datasets, I calculate a sectoral home bias index that covers 27 industries in 43 countries, which enables empirical and theoretical analysis of the puzzle...