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Yinan Qiu on More Than Just Bias-An Information Perspective on International Equity Investment Allocation Puzzle

Yinan Qiu
November 8, 2022
12:15 pm - 1:15 pm
Student Research Workshop

More from this series
Room 108

This paper provides support for the information friction perspective in explaining the “distance-puzzle” in international equity investment. Further, I utilize holdings data of  U.S. international equity funds to understand how information advantage and information quality vary across country portfolios of different fund preferences. I find that funds’ country preferences are heterogenous, and that funds use their information advantage when allocating investment in both top and bottom preference countries (indicated by the ranking of country-level excess holdings over benchmark). They use little information in middle preference countries. Further, I find small variation in average information quality across funds’ top, middle and bottom preference portfolios, except a higher quality in funds’ #1 top and #1 bottom portfolios. Lastly, I have noticed a potential cyclicality in portfolio performance and information usage over time, and I would like to further investigate with a longer time span of data.