This paper examines the evidence on international portfolio investment in five OECD countries—Canada, Germany, Japan, the United Kingdom, and the United States—during the period 1970-1990. The authors find strong evidence of home bias in national investment portfolios, despite the potential gains from international diversification. They also note that the composition of foreign securities in portfolios held by investors seems to reflect factors other than risk diversification. Despite the low degree of international diversification, the volume of transactions in international markets is high and has increased significantly in the 1980s. The high turnover rate on foreign equity investments relative to domestic equity markets suggests that transactions costs and incomplete information are not significant deterrents to international investment. The paper concludes that a richer set of models is needed to account for international investment behavior.This paper examines the evidence on international portfolio investment in five OECD countries—Canada, Germany, Japan, the United Kingdom, and the United States—during the period 1970-1990. The authors find strong evidence of home bias in national investment portfolios, despite the potential gains from international diversification. They also note that the composition of foreign securities in portfolios held by investors seems to reflect factors other than risk diversification. Despite the low degree of international diversification, the volume of transactions in international markets is high and has increased significantly in the 1980s. The high turnover rate on foreign equity investments relative to domestic equity markets suggests that transactions costs and incomplete information are not significant deterrents to international investment. The paper concludes that a richer set of models is needed to account for international investment behavior.