The portfolio flows of international investors

• 成果类型: Article
• 署名作者: Froot, KA; O'Connell, PGJ; Seasholes, MS
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00084-2
• 发表日期: 2001
• 页码: 151-193
• 关键词: international investment; INVESTOR BEHAVIOR; Portfolio investment; Portfolio flows

摘要

This paper explores daily international portfolio flows into and out of 44 countries from 1994 through 1998. We find several facts concerning the behavior of flows and their relationship with equity returns. First, we detect regional flow factors that have increased in importance through time. Second, the flows appear to be stationary, but far more persistent than returns. Third, flows are strongly influenced by past returns, a finding consistent with positive feedback trading by international investors. Fourth, inflows have positive forecasting power for future equity returns, and this power is statistically significant in emerging markets. Fifth, the sensitivity of local stock prices to foreign inflows is positive and large. Sixth, prices seem consistent with flow persistence, in that transitory inflows impact future returns negatively. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification: G15; F21; G11.