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

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Description 1 online resource (31 pages) : illustrations Series IMF working paper ; WP/03/238 IMF working paper ; WP/03/238. 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 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 Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Stock ownership -- United States Securities -- United States Stocks -- Developing countries Investments -- Developing countries -- United States Investments -- Developing countries. Investments Securities Stock ownership Stocks Developing countries United States Form Electronic book Author Warnock, Francis E., author. International Monetary Fund. Research Department. ISBN 1283562758 9781283562751 9781451920369 1451920369

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