Information and the dispersion of cross-border equity holdings
AbstractThis 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.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number halshs-00533116.
Date of creation: 2009
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Information economics ; REE Models;
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