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The investment technology of foreign and domestic institutional investors in an emerging market

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  • Patnaik, Ila

    () (National Institute of Public Finance and Policy)

  • Shah, Ajay

    () (National Institute of Public Finance and Policy)

Abstract

We compare the investment technology of foreign versus domestic investors with a focus on decomposing outcomes attributable to asset allocation and security selection. We document significant 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 differences in asset allocation. Our results show that foreign investors in India fare poorly at security selection, while domestic investors fare well.

Suggested Citation

  • 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.
  • Handle: RePEc:npf:wpaper:13/124 Note: Working Paper 124, 2013
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    References listed on IDEAS

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    1. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, pages 18-46.
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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