Limit search to available items
Book Cover
Author Edison, Hali J., author

Title U.S. investors' emerging market equity portfolios : a security-level analysis / Hali J. Edison and Francis E. Warnock
Published Washington, D.C. : International Monetary Fund, 2003
Online access available from:
IMF eLibrary    View Resource Record  


Description 1 online resource (31 pages) : illustrations
Series IMF working paper ; WP/03/238
IMF working paper ; WP/03/238
Summary 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
Bibliography Includes bibliographical references (pages 18-22)
Notes Print version record
Subject Investments -- Developing countries -- United States.
Securities -- United States.
Stock ownership -- United States.
Stocks -- Developing countries.
Form Electronic book
Author Warnock, Francis E., author
International Monetary Fund. Research Department.
ISBN 1283562758