How Important Are Foreign Ownership Linkages for International Stock Returns?

Söhnke Bartram, John Griffin and David Ng
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John Griffin: University of TX
David Ng: University of PA and Cornell University

Working Papers from University of Pennsylvania, Wharton School, Weiss Center

Abstract: A large previous literature has examined the relative importance of country and industry effects for international stock returns. We find that there is a third important driver, ownership. We develop a simple measure of international ownership linkages and show that ownership linkages are of similar importance to the traditional country and industry effects. International ownership linkages are not explained by the local or world market, country of capital origin, liquidity, investment style, foreign operations, the level of foreign ownership, or fund flows. We find evidence of the effect being driven by investor habitat and portfolio rebalancing. The specific ownership composition of a stock is an important facet of international equity returns--a finding which has important practical diversification implications.

JEL-codes: F30 F40 G30 (search for similar items in EconPapers)
Date: 2010-06
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: How Important Are Foreign Ownership Linkages for International Stock Returns? (2015)
Working Paper: How Important are Foreign Ownership Linkages for International Stock Returns? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:upafin:10-21

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