NIPFP Working Paper 124
[Link]
Ila Patnaik and Ajay Shah
June 2013
Abstract
We compare the investment technology of foreign versus domestic investors with a focus on decomposing outcomes attributable to asset allocation and security selection. We document significant 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 differences in asset allocation. Our results show that foreign investors in India fare poorly at security selection, while domestic investors fare well.
[Link]
Ila Patnaik and Ajay Shah
June 2013
Abstract
We compare the investment technology of foreign versus domestic investors with a focus on decomposing outcomes attributable to asset allocation and security selection. We document significant 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 differences in asset allocation. Our results show that foreign investors in India fare poorly at security selection, while domestic investors fare well.
