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The dynamics of international equity market expectations

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  • Brennan, Michael J.
  • Henry Cao, H.
  • Strong, Norman
  • Xu, Xinzhong

Abstract

This paper uses a noisy rational expectations model to derive predictions about the dynamic behaviour of the proportion of institutional money managers in a given country who are bullish about the equity market in different countries. The predictions are tested using monthly data for four countries for the period October 1995 to October 2000. The empirical findings are consistent with the hypothesis of informational asymmetries between capital market participants in diffent countries.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 77 (2005)
Issue (Month): 2 (August)
Pages: 257-288

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Handle: RePEc:eee:jfinec:v:77:y:2005:i:2:p:257-288

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Web page: http://www.elsevier.com/locate/inca/505576

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References

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Citations

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Cited by:
  1. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms’ foreign investment decisions?," Working Paper Series 0815, European Central Bank.
  2. Nicolas Coeurdacier & Hélène Rey, 2011. "Home Bias in Open Economy Financial Macroeconomics," NBER Working Papers 17691, National Bureau of Economic Research, Inc.
  3. Edison, Hali J. & Warnock, Francis E., 2008. "Cross-border listings, capital controls, and equity flows to emerging markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(6), pages 1013-1027, October.
  4. Robin L. Lumsdaine & Rogier J.D. Potter van Loon, 2013. "Wall Street vs. Main Street: An Evaluation of Probabilities," NBER Working Papers 19103, National Bureau of Economic Research, Inc.
  5. Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. External Returns Differential," NBER Working Papers 15077, National Bureau of Economic Research, Inc.
  6. Stephanie Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. external returns differential," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 977, Board of Governors of the Federal Reserve System (U.S.).
  7. Diyarbakirlioglu, Erkin, 2011. "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 12(4), pages 485-509.
  8. Morse, Adair & Shive, Sophie, 2011. "Patriotism in your portfolio," Journal of Financial Markets, Elsevier, vol. 14(2), pages 411-440, May.
  9. Samarakoon, Lalith P., 2009. "The relation between trades of domestic and foreign investors and stock returns in Sri Lanka," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 850-861, December.
  10. French, Joseph J. & Naka, Atsuyuki, 2013. "Dynamic relationships among equity flows, equity returns and dividends: Behavior of U.S. investors in China and India," Global Finance Journal, Elsevier, vol. 24(1), pages 13-29.
  11. Lin, Anchor Y. & Swanson, Peggy E., 2008. "U.S. investors and global equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 83-107.
  12. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
  13. Curcuru, Stephanie E. & Dvorak, Tomas & Warnock, Francis E., 2010. "Decomposing the U.S. external returns differential," Journal of International Economics, Elsevier, vol. 80(1), pages 22-32, January.
  14. Samarakoon, Lalith P., 2010. "Asymmetric investor behavior between buyside and sellside: Evidence from investor classes in the Sri Lankan stock market," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 20(2-3), pages 93-113, July.
  15. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  16. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
  17. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  18. Yuko Hashimoto & Konstantin Wacker, 2012. "The Role of Risk and Information for International Capital Flows," IMF Working Papers 12/242, International Monetary Fund.
  19. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  20. Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, Elsevier, vol. 22(2), pages 118-129, March.
  21. Lin, Anchor Y. & Swanson, Peggy E., 2008. "Foreigners' perceptions of U.S. markets: Do foreigners exhibit herding tendencies?," Journal of Economics and Business, Elsevier, vol. 60(3), pages 179-203.

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