IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00533116.html
   My bibliography  Save this paper

Information and the dispersion of cross-border equity holdings

Author

Listed:
  • V. Covrig

    (CSUN - California State University [Northridge])

  • P. Fontaine

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • S. Jimenez-Garces

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Mark Seasholes

    (HKUST - Hong Kong University of Science and Technology)

Abstract

This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We present a multi-asset rational expectations equilibrium model in which agents have information about asset-specific components of payoff and/or information about components that affect many stocks' payoffs.

Suggested Citation

  • V. Covrig & P. Fontaine & S. Jimenez-Garces & Mark Seasholes, 2009. "Information and the dispersion of cross-border equity holdings," Post-Print halshs-00533116, HAL.
    • Handle: RePEc:hal:journl:halshs-00533116
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00533116
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00533116/document
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.

    More about this item

    Keywords

    Information economics; REE Models;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00533116. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.