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How Important are Foreign Ownership Linkages for International Stock Returns?Söhnke M. BartramWarwick Business School - Department of Finance John M. GriffinUniversity of Texas at Austin - Department of Finance David NgCornell University June 18, 2010 Abstract: 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, F3 working papers seriesDate posted: March 16, 2010 ; Last revised: August 6, 2012Suggested CitationContact Information
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