The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market
Electronic Access:
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Summary:
The 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.
Series:
Working Paper No. 2013/090
Subject:
Asset allocation Asset and liability management Asset prices Financial markets Foreign direct investment Prices Production Production growth Productivity Stock markets
English
Publication Date:
April 22, 2013
ISBN/ISSN:
9781484335567/1018-5941
Stock No:
WPIEA2013090
Pages:
38
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