How Important Are Foreign Ownership Linkages for International Stock Returns?
研究发现，通过共同所有权与外国股票关联的外国所有权收益，在解释国际股票收益时与传统国家和行业因素同等重要，且主要由全球机构的主动资产配置驱动，对国际投资组合多元化有重要启示。
We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership return is driven by active reallocations of global institutions as opposed to fund flows from end investors. Our findings have important implications for international portfolio diversification.