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The determinants of international portfolio holdings and home bias

Author: Hamid Faruqee; Shujing Li; Isabel K Yan; International Monetary Fund. Research Department,
Publisher: Washington, D.C. : International Monetary Fund, ©2004.
Series: IMF working paper, WP/04/34.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Faruqee, Hamid.
Determinants of international portfolio holdings and home bias.
Washington, D.C. : International Monetary Fund, ©2004
(OCoLC)54811548
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Hamid Faruqee; Shujing Li; Isabel K Yan; International Monetary Fund. Research Department,
ISBN: 1281090301 9781281090300
OCLC Number: 647109095
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (25 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/04/34.
Responsibility: prepared by Hamid Faruqee, Shujing Li, and Isabel K. Yan.

Abstract:

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings. The empirical results show that an augmented gravity model performs remarkably well. The results indicate that market size, transaction cost, and information asymmetry are major determinants of cross-border portfolio choice. These findings shed light on alternative theories of international portfolio holdings, especially on the transaction and information cost-based explanations of home bias.

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