TY  - JOUR
AU  - Tesar,Linda L.
AU  - Werner,Ingrid M.
TI  - International Equity Transactions and U.S. Portfolio Choice
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4611
PY  - 1994
Y2  - January 1994
UR  - http://www.nber.org/papers/w4611
L1  - http://www.nber.org/papers/w4611.pdf
N1  - Author contact info:
Linda Tesar
Department of Economics
University of Michigan
Ann Arbor, MI  48109-1220
Tel: 734/763 6015
Fax: 734/764-2769
E-Mail: ltesar@umich.edu
M1  - published as Linda L. Tesar, Ingrid M. Werner. "International Equity Transactions and U.S. Portfolio Choice," in Jeffrey A. Frankel, editor, "The Internationalization of Equity Markets " University of Chicago Press (1994)

AB  - This paper studies the cross-border transactions in equity by investors in Canada, Germany,Japan, the U.K. and the U.S.  We find that investors from different countries make very different decisions about the allocation of their portfolio across markets.  In contradiction to the notion that high variable transactions costs hinder international diversification, we find that the volume of gross equity flows vastly exceeds net equity flows and the turnover rate on foreign equity investments by some investors even exceeds domestic turnover rates.  We also reject the hypothesis that U.S. investors follow the standard CAPM in allocating their global equity portfolio.
ER  -