Institutional portfolio flows and international investments

• 成果类型: Article
• 署名作者: Froot, Kenneth A.; Ramadorai, Tarun
• 署名单位: Harvard University; National Bureau of Economic Research; University of Oxford; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm091
• 发表日期: 2008
• 页码: 937
• 关键词: ORDER IMBALANCE; stock markets; COUNTRY FUNDS; investors; discounts; Sentiment; returns; RISK

摘要

Using a new technique, and weekly data for 25 countries from 1994 to 1998, we analyze the relationship between institutional cross-border portfolio flows, and domestic and foreign equity returns. In emerging markets, institutional flows forecast statistically indistinguishable movements in country closed-end fund NAV returns and price returns. In contrast, closed-end fund flows forecast price returns, but not NAV returns. Furthermore, institutional flows display trend-following (trend-reversing) behavior in response to symmetric (asymmetric) movements in NAV and price returns. The results suggest that institutional cross-border flows are linked to fundamentals, while closed-end fund flows are a source of price pressure in the short run.