Journal of Financial Economics Vol. 123 No. 1 2017

Portfolio concentration and performance of institutional investors worldwide

Nicole Y. Choi¹; Mark Fedenia²; Hilla Skiba³; Tatyana Sokolyk⁴

¹ University of Wyoming · ² University of Wisconsin–Madison · ³ Colorado State University · ⁴ Brock University

Abstract

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.

DOI

10.1016/j.jfineco.2016.09.007

Volume

123

Issue

1

Pages

189-208

Language

en

Sources

crossref bibtex:phds-export.bib openalex

Cite

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