Foreign Market Portfolio Concentration and Performance
Journal article, Peer reviewed
Accepted version
Permanent lenke
https://hdl.handle.net/10642/8521Utgivelsesdato
2019-02-06Metadata
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Originalversjon
Fjesme SLF. Foreign Market Portfolio Concentration and Performance. Financial Management. 2019 https://dx.doi.org/10.1111/fima.12263Sammendrag
Using security holdings of 49,857 foreign investors on the Oslo Stock Exchange (OSE), I test whether concentrated investment strategies in international markets result in excess risk‐adjusted returns. I find that investors with higher learning capacity increase returns, while investors with lower learning capacity decrease returns from the portfolio concentration. I measure learning capacity as institutional classification, geographical proximity to Norway, and cultural closeness to Norwegian investors (as based on the Hofstede cultural closeness measures). I conclude, consistent with the information advantage theory, that concentrated investment strategies in foreign markets can be optimal (disastrous) for investors with higher (lower) learning capacity.