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The dynamics of international equity market expectations

  • Brennan, Michael J.
  • Henry Cao, H.
  • Strong, Norman
  • Xu, Xinzhong

This paper uses a noisy rational expectations model to derive predictions about the dynamic behaviour of the proportion of institutional money managers in a given country who are bullish about the equity market in different countries. The predictions are tested using monthly data for four countries for the period October 1995 to October 2000. The empirical findings are consistent with the hypothesis of informational asymmetries between capital market participants in diffent countries.

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 77 (2005)
Issue (Month): 2 (August)
Pages: 257-288

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Handle: RePEc:eee:jfinec:v:77:y:2005:i:2:p:257-288
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