Differences of Opinion and International Equity Markets

• 成果类型: Article
• 署名作者: Dumas, Bernard; Lewis, Karen K.; Osambela, Emilio
• 署名单位: INSEAD Business School; University of Turin; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Pennsylvania; Federal Reserve System - USA
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw083
• 发表日期: 2017
• 页码: 750
• 关键词: Asymmetric information; INVESTOR RECOGNITION; trading volume; asset prices; HOME BIAS; corporate governance; cross-listings; equilibrium; returns; FLOWS

摘要

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 of domestic investors in the interpretation of home public signals affect equity markets. We evaluate the ability of our model to generate four international-finance anomalies: (i) the co-movement of returns and 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. Their relationships with empirical differences-of-opinion proxies are consistent with the model.