International portfolio investment flows

• 成果类型: Article
• 署名作者: Brennan, MJ; Cao, HH
• 署名单位: University of London; London Business School; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02744.x
• 发表日期: 1997
• 页码: 1851-1880
• 关键词: market integration; EQUITY MARKETS; HOME BIAS; equilibrium; INFORMATION; CHOICE; MODEL

摘要

This article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United States (U.S.) equity portfolio flows.