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U.S. Investors' Emerging Market Equity Portfolios :, A Security-Level Analysis, Francis Warnock, Hali Edison

Contributor
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 capital asset pricing model (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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. THE SECURITY-LEVEL HOLDINGS DATA""; ""III. FIRM CHARACTERISTICS AND U.S. OWNERSHIP""; ""IV. U.S. POSITIONS IN EMERGING EQUITY MARKETS�REGRESSION RESULTS""; ""V. WHERE THERE IS NO HOME BIAS: FURTHER ON THE CROSS-LISTING EFFECT""; ""VI. CONCLUSIONS""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (32 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781452762135

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