Should the World Market Portfolio Contain Just the Free Float? - Why U.S. Investors are Different

24 Pages Posted: 6 Aug 2003

See all articles by Mohammed Aba Al-Khail

Mohammed Aba Al-Khail

Swedish School of Economics and Business Administration

Tom Berglund

Hanken School of Economics - Department of Economics

Date Written: June 24, 2003

Abstract

We use data on the country allocations of investors from several countries to test the hypothesis of Dahlquist et al. (2003). Our results show that the country allocation in the international portfolio of these investors do not seem to be influenced by the choice between the world market portfolio or the world float portfolio. The pattern of dependence between both of these variables and the country allocations of international portfolio investments is largely the same. Interestingly, the La Porta et al. (1998) variable measuring protection of minority shareholders has a substantial incremental impact on country allocations. These results are in contrast to Dahlquist et al. (2003) results for U. S. investors.

Suggested Citation

Aba Al-Khail, Mohammed and Berglund, Tom Patrik, Should the World Market Portfolio Contain Just the Free Float? - Why U.S. Investors are Different (June 24, 2003). Available at SSRN: https://ssrn.com/abstract=424540 or http://dx.doi.org/10.2139/ssrn.424540

Mohammed Aba Al-Khail (Contact Author)

Swedish School of Economics and Business Administration ( email )

Department of Finance & Statistics
FI-00101 Helsinki
Finland

Tom Patrik Berglund

Hanken School of Economics - Department of Economics ( email )

PO Box 479
FI-00101 Helsinki
Finland
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