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

•The paper examines the presence of the home bias in Italian occupational pension funds asset allocation choices.•The analysis considers three asset classes: Italian government securities, Italian corporate bonds and Italian equities.•The presence of home bias is tested considered the choices made by asset managers.•The presence of benchmarks is considered in the analysis.•The obtained results highlight that in general asset managers asset allocation choices are affected by home bias.

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 three asset classes: government securities, corporate bonds and equities; (c) it examines the choices made by professional managers; (d) it checks whether the presence of Italian home bias is influenced by the benchmark or not and (e) it examines whether Italian home bias influences Italian asset managers and if it is also identifiable in the case of coacting management in the presence of one or more Italian asset managers. The results obtained demonstrate that home bias is a phenomenon that can be argued to exist in Italian occupational pension fund asset manager's asset allocation. The results of this research tend to show 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 prices of government securities, corporate bonds and equities because of the constant demand created on the market by the asset managers affected by this bias.