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Author/Editor:
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Edison, Hali J. ; Warnock, Francis E.
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Publication Date:
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December 01, 2003
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Electronic Access:
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Free Full text
(PDF file size is 373KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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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.
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Order a print copy
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Series:
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Working Paper No. 03/238
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Subject(s):
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Emerging markets | United States | Exchange risk | Capital markets | Investment | Financial crisis
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Author's Keyword(s):
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emerging markets | portfolio choice | home bias | and international risk sharing |
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English
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Publication Date:
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December 01, 2003
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ISBN/ISSN:
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1934-7073
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Format:
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Paper
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Stock No:
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WPIEA2382003
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Pages:
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31
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Price:
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US$15.00 )
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Please address any questions about this title to
publications@imf.org
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