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How important are foreign ownership linkages for international stock returns?
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Bartram, Söhnke M., Griffin, John M., Lim, Tae-Hoon and Ng, David T. (2015) How important are foreign ownership linkages for international stock returns? Review of Financial Studies, 28 (11). pp. 3036-3072. doi:10.1093/rfs/hhv030 ISSN 0893-9454.
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Official URL: https://doi.org/10.1093/rfs/hhv030
Abstract
We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership return is driven by active reallocations of global institutions as opposed to fund flows from end investors. Our findings have important implications for international portfolio diversification.
Item Type: | Journal Article | ||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Review of Financial Studies | ||||||
Publisher: | Oxford University Press | ||||||
ISSN: | 0893-9454 | ||||||
Official Date: | November 2015 | ||||||
Dates: |
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Volume: | 28 | ||||||
Number: | 11 | ||||||
Page Range: | pp. 3036-3072 | ||||||
DOI: | 10.1093/rfs/hhv030 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access |
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