The Federal Reserve Board eagle logo links to Board's home page

International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page U.S. Investors’ Emerging Market Equity Portfolios: A Security-Level Analysis
Hali J. Edison; Francis E. Warnock
2003-771  (July 2003, latest version September 2003)

Abstract:  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.

Full paper, latest version (220 KB PDF)
Original version (220 KB PDF)

emerging markets, portfolio choice, home bias, international risk sharing

As Published Elsewhere
forthcoming, Review of Economics and Statistics

PDF files: Adobe Acrobat Reader   ZIP files: PKWARE

Home | IFDPs | List of 2003 IFDPs
Accessibility | Contact Us
Last update: October 10, 2003