Global private information in international equity markets

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin
• 署名单位: Centre for Economic Policy Research - UK; Boston University; Bank of Canada; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.06.008
• 发表日期: 2009
• 页码: 18-46
• 关键词: private information; Global private information; asymmetric information; portfolio choice; International equity flows and returns; HOME BIAS; Return chasing

摘要

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that global private information helps explain US investors' trading behavior and performance. In particular, the model predicts global return chasing (positive co-movement of US investors' net purchases with returns in many countries) which we show to be present in the data. Return chasing in our model can be due to superior performance of US investors, not inferior knowledge or naive trend-following. We also show that trades due to private information are strongly correlated across countries. A common (global) factor accounts for about half their variation. (C) 2009 Elsevier B.V. All rights reserved.