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
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245 0 0 |a The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market  |c Ila Patnaik, Ajay Shah 
260 |a Washington, D.C.  |b International Monetary Fund  |c 2013 
300 |a 38 pages 
651 4 |a India 
653 |a Inflation 
653 |a Stock exchanges 
653 |a Investments, Foreign 
653 |a Asset allocation 
653 |a Finance 
653 |a Productivity 
653 |a Deflation 
653 |a Production 
653 |a Industrial productivity 
653 |a Long-term Capital Movements 
653 |a Exports and Imports 
653 |a General Financial Markets: General (includes Measurement and Data) 
653 |a Asset and liability management 
653 |a International Financial Markets 
653 |a Asset prices 
653 |a Macroeconomics: Production 
653 |a Price Level 
653 |a Financial markets 
653 |a Stock markets 
653 |a Financial Institutions and Services: General 
653 |a Asset-liability management 
653 |a Prices 
653 |a Macroeconomics 
653 |a Information and Market Efficiency 
653 |a Economic theory 
653 |a Event Studies 
653 |a Financial Risk Management 
653 |a Finance: General 
653 |a International Investment 
653 |a Foreign direct investment 
653 |a Production growth 
653 |a Production and Operations Management 
700 1 |a Shah, Ajay 
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520 |a 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