David Ng

310D Warren Hall
Cornell University
Ithaca, NY 14853

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Cornell University

NBER Working Papers and Publications

October 2015The Coming Wave: Where Do Emerging Market Investors Put Their Money?
with G. Andrew Karolyi, Eswar S. Prasad: w21661
We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign allocation biases of EM investors offer robust support of the information endowment hypothesis of van Nieuwerburgh and Veldkamp (2009). Specifically, past capital and trade flows from a foreign country to the home country create an information endowment (or advantage) that lead home country investments to be overweight that foreign country. At the institutional level, information advantage proxies based on relationships between EM institutional investors and the headquarters of their parent companies...

Published: G. Andrew Karolyi & David T. Ng & Eswar S. Prasad, 2020. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," Journal of Financial and Quantitative Analysis, vol 55(4), pages 1369-1414. citation courtesy of

June 1999An International Dynamic Asset Pricing Model
with Robert J. Hodrick, Paul Sengmueller: w7157
We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices. We extend Campbell's (1996) asset-pricing model to investigate international equity returns. We also utilize and evaluate recent evidence on the predictability of stock returns. We find some evidence for the role of hedging demands in explaining stock returns and compare the predictions of the dynamic model to those from the static CAPM. Both models fail in their predictions of average returns on portfolios of high book-to-market stocks across countries.

Published: International Tax and Public Finance, Vol. 6, no. 4 (November 1999): 597-620 citation courtesy of

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