Abstract

https://ssrn.com/abstract=2540283
 
 

Citations (3)



 


 



How Important are Foreign Ownership Linkages for International Stock Returns?


Söhnke M. Bartram


Warwick Business School - Department of Finance; New York University (NYU) - Department of Finance

John M. Griffin


University of Texas at Austin - Department of Finance

Tae-Hoon Lim


Cornell University

David T. Ng


Cornell University

December 11, 2014

Review of Financial Studies (Forthcoming)

Abstract:     
We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects, but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership return is driven by active reallocations of global institutions as opposed to fund flows from end investors. Our finding has important implications for international portfolio diversification.

Number of Pages in PDF File: 83

Keywords: Institutional ownership, asset management, portfolio diversification, international finance, comovement

JEL Classification: G3, F4, F3


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Date posted: December 20, 2014 ; Last revised: January 22, 2015

Suggested Citation

Bartram, Söhnke M. and Griffin, John M. and Lim, Tae-Hoon and Ng, David T., How Important are Foreign Ownership Linkages for International Stock Returns? (December 11, 2014). Review of Financial Studies (Forthcoming). Available at SSRN: https://ssrn.com/abstract=2540283 or http://dx.doi.org/10.2139/ssrn.2540283

Contact Information

Söhnke M. Bartram (Contact Author)
Warwick Business School - Department of Finance ( email )
Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)
HOME PAGE: http://go.warwick.ac.uk/sbartram/
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
John M. Griffin
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)
HOME PAGE: http://www.jgriffin.info

Tae-Hoon Lim
Cornell University ( email )
Ithaca, NY 14853
United States
David T. Ng
Cornell University ( email )
Ithaca, NY 14853
United States
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