| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6687 |
| 来源ID | Working Paper 6687 |
| The Portfolio Flows of International Investors, I | |
| Kenneth A. Froot; Paul G.J. O'; Connell; Mark S. Seasholes | |
| 发表日期 | 1998-08-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper explores the behavior of daily, international portfolio flows into and out of 46 countries from 1994 through 1998. Our data are from State Street Bank & Trust and encompass over 3 million trades by client institutions. We find a number of interesting facts. First, we detect regional factors within the flows. Second, the flows are strongly persistent -- the persistence decays only slowly over time. Third, flows are strongly influenced by past returns, so that investor trend-following is apparent. Fourth forecasting power for future emerging market returns, but not for developed country returns. Fifth, we find the sensitivity of local stock prices to foreign inflows to be positive and determine that transitory inflows impact future returns negatively. Finally, we examine and reject that the positive covariance of returns and inflows is associated with an information disadvantage on the part of international investors. |
| URL | https://www.nber.org/papers/w6687 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564196 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Paul G.J. O',Connell,et al. The Portfolio Flows of International Investors, I. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6687.pdf（1484KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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