Information costs and home bias: an analysis of US holdings of foreign equities

• 成果类型: Article
• 署名作者: Ahearne, AG; Griever, WL; Warnock, FE
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(03)00015-1
• 发表日期: 2004
• 页码: 313-336
• 关键词: information asymmetries; Investor protection; accounting standards; portfolio choice

摘要

We test extant hypotheses of the home bias in equity holdings using high quality cross-border holdings data and quantitative measures of barriers to international investment. The effects of direct barriers to international investment, when statistically significant, are not economically meaningful. More important are information asymmetries that owe to the poor quality and low credibility of financial information in many countries. While a direct measure of information costs is not available, some foreign firms have reduced these costs by publicly listing their securities in the United States, where investor protection regulations elicit standardized, credible financial information. A proxy for the reduction in information asymmetries-the portion of a country's market that has a public US listing-is a major determinant of a country's weight in US investors' portfolios. Foreign countries whose firms do not alleviate information costs by opting into the US regulatory environment are more severely underweighted in US equity portfolios. Published by Elsevier B.V.