U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis

WPIEA2382003 Image
Price:  $15.00

Author/Editor: Hali J. Edison, Francis E. Warnock
Release Date: © December, 2003
ISBN : 978-1-45187-576-8
Stock #: WPIEA2382003
English
Stock Status: Available

Languages and formats available

EnglishFrenchSpanishArabicRussianChinesePortuguese
PaperbackYes
PDFYes

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 capital asset pricing model (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.

Taxonomy

Capital markets , Economic development , Financial crisis , Financial institutions and markets , International financial system , Investment




More publications in this series: Working Papers


More publications by: Hali J. Edison ; Francis E. Warnock