International equity flows and returns: A quantitative equilibrium approach

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin
• 署名单位: Boston University; New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2007.00412.x
• 发表日期: 2007
• 页码: 1-30
• 关键词: investment; MARKETS; MODEL

摘要

This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about U.S. investors' international equity trades: (i) trading by U.S. investors occurs in waves of simultaneous buying and selling; (ii) U.S. investors build and unwind foreign equity positions gradually; and (iii) U.S. investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.