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

Download or read book The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market written by Ila Patnaik and published by International Monetary Fund. This book was released on 2013-04-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.