US investors' emerging market equity portfolios: A security-level analysis

• 成果类型: Article; Proceedings Paper
• 署名作者: Edison, HJ; Warnock, FE
• 署名单位: International Monetary Fund; Federal Reserve System - USA
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/0034653041811671
• 发表日期: 2004-08
• 页码: 691-704
• 关键词: home bias; institutional investors; cross-listings; UNITED-STATES; asset prices; INFORMATION; equilibrium; OWNERSHIP

摘要

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.