International Finance Division
Board of Governors of the Federal Reserve System
Washington DC 20551
NBER Working Papers and Publications
|February 2012||U.S. International Equity Investment|
with Sara B. Holland, David C. Smith, Francis E. Warnock: w17839
U.S. investors are the largest group of international equity investors in the world, but to date conclusive evidence on which types of foreign firms are able to attract U.S. investment is not available. Using a comprehensive dataset of all U.S. investment in foreign equities, we find that the single most important determinant of the amount of U.S. investment a foreign firm receives is whether the firm cross-lists on a U.S. exchange. Correcting for selection biases, cross-listing leads to a doubling (or more) in U.S. investment, an impact greater than all other factors combined. We also show that our firm-level analysis has implications for country-level studies, suggesting that research investigating equity investment patterns at the country-level should include cross-listing as an endogen...
Published: Journal of Accounting Research. Volume 50, Issue 5, pages 1109–1139, December 2012 citation courtesy of
|August 2006||Look at Me Now: What Attracts U.S. Shareholders?|
with Sara B. Holland, David C. Smith, Francis E. Warnock: w12500
This paper investigates the underlying determinants of home bias using a comprehensive data set on U.S. investors' aggregate holdings of every foreign stock. Among those foreign stocks that are not listed on U.S. exchanges, which account for more than 96 percent of our usable data sample, we find that U.S. investors prefer firms with characteristics associated with greater information transparency, such as stronger home-country accounting standards. We document that a U.S. cross-listing is economically important, as U.S. ownership of a foreign firm roughly doubles upon cross-listing in the United States. We explore the cross-sectional variation in this "cross-listing effect" and find that the increase in U.S. investment is greatest for firms that are from weak accounting backgrounds and ar...
|June 1991||What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns|
with John Y. Campbell: w3760
This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar U.S. data, excess stock returns are found to be driven largely by news about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short-term nominal interest rate and the slope of the term structure. These findings help to explain why postwar excess stock and bond returns have been almost uncorrelated.
Published: Journal of Finance, vol 48, March 1993, p.3-37 citation courtesy of