The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market
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.
|Date of creation:||31 May 1998|
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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- Brennan, Michael J & Cao, H Henry, 1997.
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- Michael J. Brennan. and H. Henry Cao., 1997. "International Portfolio Investment Flows," Research Program in Finance Working Papers RPF-271, University of California at Berkeley.
- Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
- Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
- Sellin, P., 1994. "Do foreign Investors Have a Market Impact on Swidish Stock Prices?," Papers 581, Stockholm - International Economic Studies. Full references (including those not matched with items on IDEAS)
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