International Equity Transactions and U.S. Portfolio Choice / Linda L. Tesar, Ingrid M. Werner.

Format:

Book

Author/Creator:

Tesar, Linda L.

Contributor:

National Bureau of Economic Research.

Werner, Ingrid M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4611.

NBER working paper series no. w4611

Language:

English

Subjects (All):

Portfolio management.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1994.

Cambridge, Massachusetts : National Bureau of Economic Research, 1994.

Summary:

This paper studies the cross-border transactions in equity by investors in Canada, Germany,Japan, the U.K. and the U.S. We find that investors from different countries make very different decisions about the allocation of their portfolio across markets. In contradiction to the notion that high variable transactions costs hinder international diversification, we find that the volume of gross equity flows vastly exceeds net equity flows and the turnover rate on foreign equity investments by some investors even exceeds domestic turnover rates. We also reject the hypothesis that U.S. investors follow the standard CAPM in allocating their global equity portfolio.

Notes:

Print version record

January 1994.