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The purpose of this paper is to assess the evolution of home bias in assets allocation over time and to test the effect of financial markets frictions on the equities portfolio holding. Our findings show that all countries present a substantial home bias in their portfolio holding and that investors are unaware of the benefit of diversification and under-weight the foreign securities in their portfolios instead of holding the world market portfolio of risky assets, as suggested by thedoi:10.5539/ijbm.v8n3p51 fatcat:vkter2lgojdwxkccau3hd5to2a