How Important are Foreign Ownership Linkages for International Stock Returns?
Söhnke M. Bartram
Warwick Business School - Department of Finance
John M. Griffin
University of Texas at Austin - Department of Finance
June 18, 2010
We develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkage is a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns – a finding which has important implications for diversification.
Number of Pages in PDF File: 61
Keywords: Institutional ownership, asset management, portfolio diversification, international finance, co-movement
JEL Classification: G3, F4, F3working papers series
Date posted: March 16, 2010 ; Last revised: August 6, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.406 seconds