IDEAS home Printed from https://ideas.repec.org/p/cmu/gsiawp/1289331517.html

Differences of Opinion and International Equity Markets

Author

Listed:
  • Bernard Dumas
  • Karen K. Lewis
  • Emilio Osambela

Abstract

We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic (foreign) investors in the interpretation of home (foreign) public signals impact equity markets. Our model generates four standard international pricing anomalies: (i) the co-movement of returns and international capital flows; (ii) home equity preference; (iii) the dependence of firm returns on home and foreign factors; and (iv) abnormal returns around foreign firm cross-listing in the home market.

Suggested Citation

  • Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2014. "Differences of Opinion and International Equity Markets," GSIA Working Papers 2010-E79, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:1289331517
    as

    Download full text from publisher

    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1570168
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F3 - International Economics - - International Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    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:cmu:gsiawp:1289331517. 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: Steve Spear (email available below). General contact details of provider: https://www.cmu.edu/tepper .

    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.