International Equity Transactions and U.S. Portfolio Choice

Posted: 2 Sep 1999

See all articles by Linda L. Tesar

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

Multiple version iconThere are 2 versions of this paper

Date Written: November 1993

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.

JEL Classification: G11

Suggested Citation

Tesar, Linda L. and Werner, Ingrid M., International Equity Transactions and U.S. Portfolio Choice (November 1993). Available at SSRN: https://ssrn.com/abstract=5921

Linda L. Tesar

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 (Contact Author)

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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