Institutional Determinants of International Equity Portfolios – A Country-Level Analysis


Berkel, Barbara


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URL: http://ub-madoc.bib.uni-mannheim.de/890
URN: urn:nbn:de:bsz:180-madoc-8904
Document Type: Working paper
Year of publication: 2004
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Veröffentlichungen des MEA (Mannheim Research Institute For the Economics of Aging) > MEA Discussion Papers
Subject: 330 Economics
Classification: JEL: G11 G15 F21 F36 ,
Subject headings (SWD): Portfolio Selection , Kapitalmarkt , Information
Abstract: Despite large potential gains, international equity investment is less diversified across countries than predicted by the international version of the traditional capital asset pricing model (ICAPM). This paper provides empirical evidence on the impact of capital market frictions on international equity portfolios using data on bilateral equity holdings. Two important findings are reported: First, besides a home bias in equities, a 'friendship bias' can be observed for some country pairs. Second, indirect barriers such as the degree of financial market development and especially information asymmetries have strong explanatory power, whereas direct barriers such as capital flow restrictions have no impact on the portfolio share of foreign equities.
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Berkel, Barbara (2004) Institutional Determinants of International Equity Portfolios – A Country-Level Analysis. Open Access [Working paper]
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