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U.S. Investors' Emerging Market Equity Portfolios
By:Mr. Francis E. Warnock,Mr. Hali J. Edison
Published on 2003-12-01 by International Monetary Fund

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.

This Book was ranked at 6 by Google Books for keyword Monetary economics.

Book ID of U.S. Investors' Emerging Market Equity Portfolios's Books is lxXaGLMgIyIC, Book which was written byMr. Francis E. Warnock,Mr. Hali J. Edisonhave ETAG "gN9iuxTo7Zo"

Book which was published by International Monetary Fund since 2003-12-01 have ISBNs, ISBN 13 Code is 9781451920369 and ISBN 10 Code is 1451920369

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Book which have "32 Pages" is Printed at BOOK under CategoryBusiness and Economics

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