How Important Are Foreign Ownership Linkages for International Stock Returns?

• 成果类型: Article
• 署名作者: Bartram, Soehnke M.; Griffin, John M.; Lim, Tae-Hoon; Ng, David T.
• 署名单位: University of Warwick; University of Texas System; University of Texas Austin; Korea Institute for International Economic Policy (KIEP); Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv030
• 发表日期: 2015
• 页码: 3036
• 关键词: industrial-structure; demand curves; Expected returns; Portfolio flows; cross-section; location; RISK; diversification; overconfidence; segmentation

摘要

We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership return is driven by active reallocations of global institutions as opposed to fund flows from end investors. Our findings have important implications for international portfolio diversification.