G2TT
来源类型Discussion paper
规范类型论文
来源IDDP5824
DP5824 Mass Consumption, Exclusion and Unemployment
Josef Zweimüller; Reto Foellmi
发表日期2006-09-08
出版年2006
语种英语
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 understand US investors? trading behaviour and performance. In particular, the model predicts global return chasing - positive comovement 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.
主题Financial Economics
关键词Private information Global private information Asymmetric information Portfolio choice International equity flows and returns Home bias Return chasing
URLhttps://cepr.org/publications/dp5824
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/534661
推荐引用方式
GB/T 7714
Josef Zweimüller,Reto Foellmi. DP5824 Mass Consumption, Exclusion and Unemployment. 2006.
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