Macro/Finance Group, NIPFP

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.

Links

• Journal
• Journal PDF (personal use only)
• RePEc page
• Presentation video
• Software
  • Code
  • Result

Press

• The investment technology in the Wall Street Journal, 1^st November 2013.
• The investment technology of FIIs and DIIs by Ajay Shah, in the Economic Times, 25^th October 2013.
• The investment technology of foreign and domestic institutional investors by Ajay Shah, on his blog, 24^th October 2013.