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

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 ass...

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Bibliographic Details
Main Author: Patnaik, Ila
Other Authors: Shah, Ajay
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2013
Series:IMF Working Papers
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:38 pages
ISBN:9781484335567