| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5247 |
| DP5247 Level Playing Fields in International Financial Regulation | |
| Alan Morrison; Lucy White | |
| 发表日期 | 2005-09-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors? international equity trades: (i) trading by US investors occurs in waves of simultaneous buying and selling; (ii) US investors build and unwind foreign equity positions gradually; and (iii) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asymmetric information Heterogenous investors Asset pricing International equity flows International equity returns |
| URL | https://cepr.org/publications/dp5247 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534118 |
| 推荐引用方式 GB/T 7714 | Alan Morrison,Lucy White. DP5247 Level Playing Fields in International Financial Regulation. 2005. |
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