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The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market

The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market

Ajay Shah
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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.
Pages
39
Format
ebook
Publisher
International Monetary Fund
Release
January 01, 2013
ISBN
1299618766
ISBN 13
9781299618763

The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market

Ajay Shah
0/5 ( ratings)
Read Download
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.
Pages
39
Format
ebook
Publisher
International Monetary Fund
Release
January 01, 2013
ISBN
1299618766
ISBN 13
9781299618763

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