U.S. Investors' Emerging Market Equity Portfolios
A Security-Level Analysis
Bibliographic Data
| ID | 19319986 |
|---|---|
| Authors | Hali J Edison (International Monetary Fund), Francis E Warnock (Federal Reserve) |
| Year | 2004 |
| Volume | 86 |
| Issue | 3 |
| Pages | 691-704 |
| Publication date | 2004-08-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/0034653041811671 |
| OpenAlex | W2135772724 |
| Language | EN |
| Citations received | 2 |
| References cited | 34 |
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 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 under-weighting 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
Business · Capital asset pricing model · Cross listing · Economics · Emerging markets · Equity (law) · Financial economics · Monetary economics · Point (geometry) · Corporate Finance and Governance · Credit Risk and Financial Regulations · Finance · Financial Markets and Investment Strategies
| Citations per year | 0.11 |
|---|---|
| Citation span | 2008 - 2020 (13) |
| Highly cited | No |