Hidden Bibliographic Details
| Other authors / contributors: | Warnock, Francis E., author.
International Monetary Fund. Research Department.
|
|---|
| ISBN: | 1283562758
9781283562751
9781451920369
1451920369
|
|---|
| Notes: | Includes bibliographical references (pages 18-22).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
|
|---|
| Summary: | 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.
|
|---|
| Other form: | Print version: Edison, Hali J. U.S. investors' emerging market equity portfolios. Washington, D.C. : International Monetary Fund, 2003
|
|---|
