U.S. investors' emerging market equity portfolios
Subtitle: a security-level analysis
By: Hali J. Edison and Francis E. Warnock.
Contributors: Warnock, Francis E.
Series: International finance discussion papers ;; no. 771; International finance discussion papers (Online) ;; no. 771.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Other titles: US investors' emerging market equity portfolios
Description: "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 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"--Federal Reserve Board web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 9/15/2004.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.