Portfolio concentration and performance of institutional investors worldwide

• 成果类型: Article
• 署名作者: Choi, Nicole; Fedenia, Mark; Skiba, Hilla; Sokolyk, Tatyana
• 署名单位: University of Wyoming; University of Wisconsin System; University of Wisconsin Madison; Colorado State University System; Colorado State University Fort Collins; Brock University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.09.007
• 发表日期: 2017
• 页码: 189-208
• 关键词: International investments; institutional investors; information advantage; HOME BIAS; diversification; Industry concentration

摘要

Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantage theory, that concentrated investment strategies in international markets can be optimal. Published by Elsevier B.V.