Do Foreign Investors Underperform? An Empirical Decomposition into Style and Flows (Record no. 29932)

000 -LEADER
fixed length control field 02208cam a22003134a 4500
001 - CONTROL NUMBER
control field 8002
003 - CONTROL NUMBER IDENTIFIER
control field The World Bank
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20181114095223.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cn|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 160311s2017 dcu o i00 0 eng
024 8# - OTHER STANDARD IDENTIFIER
Standard number or code 10.1596/1813-9450-8002
035 ## - SYSTEM CONTROL NUMBER
System control number (The World Bank)8002
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Pedraza, Alvaro.
245 10 - TITLE STATEMENT
Title Do Foreign Investors Underperform? An Empirical Decomposition into Style and Flows
Medium [electronic resource] /
Statement of responsibility, etc Alvaro Pedraza.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Washington, D.C. :
Name of publisher, distributor, etc The World Bank,
Date of publication, distribution, etc 2017.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (45 p.)
520 3# - SUMMARY, ETC.
Summary, etc This paper studies the trading behavior and performance of foreign investors with different management styles. The analysis uses a comprehensive Colombian data with complete transaction records and unique investor identification, and finds that the aggregate under-performance of foreign investors is attributable to foreign passive funds, that is, those that replicate a benchmark index. These funds pay higher prices to increase the speed of their trades to accommodate daily flows proportionally to their index before market closing. Passive funds face higher transaction costs on days when they trade multiple stocks in the same direction, buy (sell) the same stock multiple times, and make large trades near the daily closing time. Meanwhile, foreign active funds trade at more favorable prices and display higher risk-adjusted returns than any other investor group, including domestic funds with similar active management. The findings highlight the potential costs of index investing in developing countries or in securities with low trading activity (small stocks).
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Foreign Investors
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Index Funds
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Performance
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Transactional Data
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Pedraza, Alvaro.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Pulga, Fredy.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Vasquez, Jose.
776 18 - ADDITIONAL PHYSICAL FORM ENTRY
Main entry heading Print Version:
Display text Pedraza, Alvaro
Title Do Foreign Investors Underperform? An Empirical Decomposition into Style and Flows
Place, publisher, and date of publication Washington, D.C. : The World Bank, 2017
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Policy research working papers.
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title World Bank e-Library.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-8002">http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-8002</a>

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