Gross Capital Flows and Asymmetric Information
AbstractThis paper shows that the behavior of gross capital flows can identify the nature of information asymmetries in international equity markets. Information asymmetry between foreign and domestic investors implies a correlation between net flows and returns. Information asymmetry within groups of foreign and domestic investors implies that gross flows and absolute returns are correlated. I find that the correlation between gross flows and absolute returns is stronger than the correlation between net flows and returns, suggesting that information asymmetries within countries are more important than those between countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2001-07.
Date of creation: Jun 2001
Date of revision:
Publication status: published in Journal of International Money and Finance, November 2003, v. 22, iss. 6, pp. 835-64
Find related papers by JEL classification:
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stephen Sheppard).
If references are entirely missing, you can add them using this form.