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International Equity Flows and Returns: A Quantitative Equilibrium Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Albuquerque, Rui
Bauer, Gregory
Schneider, Martin
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registered author(s):
This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors’ international equity trades: (i) trading by US investors occurs in waves of simultaneous buying and selling; (ii) US investors build and unwind foreign equity positions gradually; and (iii) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.
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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
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Date of creation: Aug 2005Date of revision:
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Keywords: asset pricing asymmetric information heterogenous investors international equity flows international equity returns Other versions of this item:
Article Paper Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2005.
"International equity flows and returns: a quantitative equilibrium approach ,"
International Finance
0508006, EconWPA.
[Downloadable!] Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
Working Papers
04-42, Bank of Canada.
[Downloadable!] Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
International Finance
0405006, EconWPA.
[Downloadable!] Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004.
"International equity flows and returns: A quantitative equilibrium approach ,"
Working Paper Series
310, European Central Bank.
[Downloadable!] Find related papers by JEL classification: F30 - International Economics - - International Finance - - - General G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports :
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004.
"Characterizing Asymmetric Information in International Equity Markets ,"
International Finance
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[Downloadable!]
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Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006.
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