The dynamics of international equity market expectations

• 成果类型: Article
• 署名作者: Brennan, MJ; Cao, HH; Strong, N; Xu, XZ
• 署名单位: University of California System; University of California Los Angeles; University of Manchester; Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.008
• 发表日期: 2005
• 页码: 257-288
• 关键词: home bias; International portfolio flows; asymmetric information; rational expectations; foreign investor informational disadvantage

摘要

This paper develops a noisy rational expectations model of the way in which international investors adjust their expectations of asset payoffs in a given country in response not only to public information signals but also to private information signals whose precision differs across investors. The model predicts that the perceptions of investors in one country about the future market returns in another country are related differently to realized past returns depending on their informational disadvantage relative to other investors: the greater is that informational disadvantage, the greater is the change in perception associated with returns. The predictions are confirmed by monthly survey data of institutional money managers investing in developed markets from 1995 to 2000. (c) 2005 Elsevier B.V. All rights reserved.