|
||||
|
||||
U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis
Hali J. Edison International Monetary Fund (IMF) - Research Department Francis E. Warnock University of Virginia - Darden Business School; National Bureau of Economic Research (NBER) July 2003 FRB International Finance Discussion Paper No. 771 Abstract: We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international CAPM weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms.
Keywords: emerging markets, portfolio choice, home bias, international risk sharing JEL Classifications: F3, G15 Working Paper SeriesDate posted: September 29, 2003 ; Last revised: November 12, 2003Suggested CitationContact Information
|
|
||||||||||||||||||||||||
© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy
This page was served by apollo2 in 0.125 seconds.