U.S. investors' emerging market equity portfolios
a security-level analysis
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Author
Contributions
- Warnock, Francis E. - Contributor
- International Monetary Fund. Research Dept. - Contributor
Publication
2003 - International Monetary Fund, Research Department, Washington, D.C, District of Columbia
Language
English
Word Count
7,750 words, Guess
Page Count
31 pages
Identifiers
- Better World Books9781451920369
- Better World Books9781451875768
- Better World Books9781452762135
- Open LibraryOL19872650M
Classifications
- LCCHG173
Description
"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"--Federal Reserve Board web site.
Subjects
Topics
Series Statement
- IMF working paper -- WP/03/238
Links
Other Editions
- U.S. investors' emerging market equity portfolios: a security-level analysis
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