Access to information and international portfolio allocation

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Thapa, Chandra
Paudyal, Krishna
Neupane, Suman
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I. Mathur

Date
2013
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Abstract

We examine whether foreign equity holdings of portfolio investors depend on the level of information accessibility between the investors' home and host countries. Using a comprehensive data set, alternative measures of information accessibility and robust analytical techniques, we show that differences in access to cross-country information significantly influence investors' portfolio allocation decisions. Furthermore, the results suggest that for a given level of access to information, investors prefer to invest more in countries with a higher quality of legal/macro-institutions. Finally, the findings also confirm that the implications of information accessibility are more pronounced when markets are turbulent.

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Journal of Banking and Finance

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37

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7

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Finance

Applied Mathematics

Economic Theory

Banking, Finance and Investment

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