U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis
利用美国投资者持有新兴市场股票的详细数据，发现其组合偏向大公司、外资限制少或在美国交叉上市的公司，交叉上市股票被完全纳入国际CAPM权重，表明信息不对称是本土偏好的重要原因。
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 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 under-weighting 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. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.