Accounting for foreign investor base heterogeneity helps explain the influence of the Global Financial Cycle on emerging market sovereign borrowing. Using security-level data and a quantitative model featuring heterogeneous investors, stochastic debt default risk and global financial shocks, I investigate the two-way feedback loop between asset characteristics and investor composition. Facing global financial tightening, sovereign bonds with a higher institutional ownership by foreign investment funds suffer a larger price drop. The willingness for long-term investors, including banks, insurance companies and pension funds, to act as shock absorbers, however, is limited by their higher propensities to hold safer, home- currency-denominated bonds. Leveraging my estimate of long-term investors’ demand elasticity, the model replicates empirical patterns on the relationship between foreign investor mix and sensitivity to global risk factors. Policy measures that encourage the participation of long-term foreign investors could substantially reduce the level and volatility of emerging markets’ borrowing cost.