How Important are Foreign Ownership Linkages for International Stock Returns?
AbstractWe develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkages are a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns - a finding which has important implications for diversification.
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Bibliographic InfoPaper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 122012.
Length: 86 pages
Date of creation: May 2012
Date of revision:
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Institutional Ownership; Asset Management; Portfolio Diversification; International Finance; Comovement;
Find related papers by JEL classification:
- G3 - Financial Economics - - Corporate Finance and Governance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-05 (All new papers)
- NEP-CFN-2012-06-05 (Corporate Finance)
- NEP-FMK-2012-06-05 (Financial Markets)
- NEP-IFN-2012-06-05 (International Finance)
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- Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013.
"Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation,"
Journal of Banking & Finance,
Elsevier, vol. 37(8), pages 2823-2835.
- Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013. "Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation," Discussion Papers 18/2013, Deutsche Bundesbank, Research Centre.
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