U.S. investors' emerging market equity portfolios: a security-level analysis

No 771, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Investments; Foreign (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-fmk
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Related works:
Journal Article: U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis (2004)
Working Paper: U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:771

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