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The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market

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  • Säfvenblad, Patrik

    ()
    (Dept. of Finance, Stockholm School of Economics)

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    Abstract

    This paper uses daily capital flows to the Swedish bond market to analyse the relative information endowment of domestic and foreign investors. Using the standard framework of a noisy rational expectations equilibrium it is shown that foreign investors are, on average, better informed than domestic investors. The better information of foreign investors is related to pan-European factors, including ITL bond yields, future order flow, as well as pure Swedish factors.

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    Bibliographic Info

    Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 240.

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    Length: 11 pages
    Date of creation: 31 May 1998
    Date of revision:
    Handle: RePEc:hhs:hastef:0240

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    Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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    Related research

    Keywords: bond prices; capital flows; foreign investors; informed investors; interest rate determination;

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    References

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
    2. Correia-Nunes, Jose & Stemitsiotis, Loukas, 1995. "Budget Deficit and Interest Rates: Is There a Link? International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 57(4), pages 425-49, November.
    3. Cebula, Richard & Koch, James, 1988. "An Empirical Note on Deficits, Interest Rates, and International Capital Flows," MPRA Paper 50165, University Library of Munich, Germany.
    4. Michael J. Brennan. and H. Henry Cao., 1997. "International Portfolio Investment Flows," Research Program in Finance Working Papers, University of California at Berkeley RPF-271, University of California at Berkeley.
    5. Sellin, P., 1994. "Do foreign Investors Have a Market Impact on Swidish Stock Prices?," Papers, Stockholm - International Economic Studies 581, Stockholm - International Economic Studies.
    6. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(4), pages 467-492, August.
    7. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 22(3), pages 477-498, June.
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    Cited by:
    1. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3033, C.E.P.R. Discussion Papers.
    2. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series, Institute for Financial Research 1, Institute for Financial Research.

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