Portfolio concentration and performance of institutional investors worldwide

Choi Nicole; Fedenia Mark; Skiba Hilla; Sokolyk Tatyana

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Portfolio concentration and performance of institutional investors worldwide

机译：全球机构投资者的投资组合集中和表现

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Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantage theory, that concentrated investment strategies in international markets can be optimal. Published by Elsevier B.V.

机译：使用来自72个国家/地区的10,771家机构投资者的证券持有量数据，我们测试了集中的投资策略是否会产生超额的风险调整后收益。我们研究了有关国家和行业的投资组合集中度的几种度量，并发现投资组合集中度与全球机构投资者的风险调整后收益直接相关。结果表明，与传统资产定价理论相反，并支持信息优势理论，在国际市场上集中投资策略可能是最佳的。由Elsevier B.V.发布

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来源
《Journal of financial economics》 |2017年第1期|189-208|共20页
作者
Choi Nicole; Fedenia Mark; Skiba Hilla; Sokolyk Tatyana;
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作者单位

Univ Wyoming, Dept Econ & Finance, Coll Business, 1000 E Univ Ave, Laramie, WY 82070 USA;

Univ Wisconsin, Wisconsin Sch Business, 975 Univ Ave, Madison, WI 53706 USA;

Colorado State Univ, Coll Business, Dept Finance & Real Estate, 1201 Campus Delivery, Ft Collins, CO 80523 USA;

Brock Univ, Dept Finance Operat & Informat Syst, 500 Glenridge Ave, St Catharines, ON L2S 3A1, Canada;

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正文语种 eng
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关键词
International investments; Institutional investors; Information advantage; Home bias; Diversification; Industry concentration;

机译：国际投资;机构投资者;信息优势;国内偏见;多元化;产业集中度;

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3. What is the effect of country-specific characteristics on the research performance of scientific institutions? Using multi-level statistical models to rank and map universities and research-focused institutions worldwide [J] . Lutz Bornmann, Moritz Stefaner, Felix de Moya Anegon, Journal of informetrics . 2014,第3期

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Portfolio concentration and performance of institutional investors worldwide

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