The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market
AbstractThe literature on the investment technology of foreign versus domestic investors has inconclusive results. This paper revisits the question, with a focus on decomposing portfolio performance into asset allocation and security selection. We document signicant differences in exposure to systematic asset pricing factors between foreign and domestic investors. A quasi-experimental strategy is introduced, for comparing security selection after controlling for diferences in asset allocation. Our results show that foreign investors in India do remarkably poorly at security selection.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 13/90.
Date of creation: 22 Apr 2013
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Other versions of this item:
- Patnaik, Ila & Shah, Ajay, 2013. "The investment technology of foreign and domestic institutional investors in an emerging market," Working Papers 13/124, National Institute of Public Finance and Policy.
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