The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market [electronic resource] / Ila Patnaik.
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TextSeries: IMF Working Papers; Working Paper ; No. 13/90Publication details: Washington, D.C. : International Monetary Fund, 2013Description: 1 online resource (38 p.)ISBN: 1484335562 :ISSN: 1018-5941Subject(s): Domestic Institutional Investors | Foreign Investor | Foreign Investors | Foreign Ownership | General | Institutional Investor | IndiaAdditional physical formats: Print Version:: The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging MarketOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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.
Description based on print version record.
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