Cover IMF Working Papers
U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis
Author: Mr. Francis E. Warnock and Ms. Hali J Edison
Series:
IMF Working Papers
Volume/Issue:
Volume 2003: Issue 238
Language:
English
Publication Date:
01 Dec 2003
DOI:
https://doi.org/10.5089/9781451875768.001
ISBN:
9781451875768
ISSN:
1018-5941
Pages:
32
Keywords:
WP; market portfolio; protection regulation; current ratio; cost of capital; emerging markets; portfolio choice; home bias; international risk sharing; equity portfolio; investors' holding; atomistic investor; investors portfolio; portfolio weight; emerging market equities; Stocks; Emerging and frontier financial markets; Market capitalization; Stock markets; Securities; Asia and Pacific; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund

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