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http://ssrn.com/abstract=253998
 
 

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International Equity Transactions and U.S. Portfolio Choice


Linda L. Tesar


University of Michigan at Ann Arbor - Department of Economics; National Bureau of Economic Research (NBER)

Ingrid M. Werner


The Ohio State University - Fisher College of Business

January 1994

NBER Working Paper No. w4611

Abstract:     
This paper studies the cross-border transactions in equity by investors in Canada, Germany,Japan, the U.K. and the U.S. We find that investors from different countries make very different decisions about the allocation of their portfolio across markets. In contradiction to the notion that high variable transactions costs hinder international diversification, we find that the volume of gross equity flows vastly exceeds net equity flows and the turnover rate on foreign equity investments by some investors even exceeds domestic turnover rates. We also reject the hypothesis that U.S. investors follow the standard CAPM in allocating their global equity portfolio.

Number of Pages in PDF File: 46

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Date posted: December 21, 2000  

Suggested Citation

Tesar, Linda L. and Werner, Ingrid M., International Equity Transactions and U.S. Portfolio Choice (January 1994). NBER Working Paper No. w4611. Available at SSRN: http://ssrn.com/abstract=253998

Contact Information

Linda L. Tesar (Contact Author)
University of Michigan at Ann Arbor - Department of Economics ( email )
611 Tappan Street
Ann Arbor, MI 48109-1220
United States
734-763-2254 (Phone)
734-764-2769 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Ingrid M. Werner
The Ohio State University - Fisher College of Business ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
614-292-6460 (Phone)
614-292-2418 (Fax)

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