Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP5824 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
个性服务 |
推荐该条目 |
保存到收藏夹 |
导出为Endnote文件 |
谷歌学术 |
谷歌学术中相似的文章 |
[Josef Zweimüller]的文章 |
[Reto Foellmi]的文章 |
百度学术 |
百度学术中相似的文章 |
[Josef Zweimüller]的文章 |
[Reto Foellmi]的文章 |
必应学术 |
必应学术中相似的文章 |
[Josef Zweimüller]的文章 |
[Reto Foellmi]的文章 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。