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The dynamics of international equity market expectations

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Author Info

  • 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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  9. Richard Portes and H�l�ne Rey., 2000. "The Determinants of Cross-Border Equity Flows: The Geography of Information," Center for International and Development Economics Research (CIDER) Working Papers C00-111, University of California at Berkeley.
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  17. Stulz, Rene M, 1981. "On the Effects of Barriers to International Investment," Journal of Finance, American Finance Association, vol. 36(4), pages 923-34, September.
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  21. Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
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  23. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June.
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