01969cas a2200253 a 4500 AALejournalIMF008544 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451875768 1018-5941 BD-DhAAL BD-DhAAL Warnock, Francis. U.S. Investors' Emerging Market Equity Portfolios : A Security-Level Analysis / Francis Warnock, Hali Edison. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (32 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international capital asset pricing model (CAPM) weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms. Mode of access: Internet Edison, Hali. IMF Working Papers; Working Paper ; No. 2003/238 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/238/001.2003.issue-238-en.xml IMF e-Library