| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8472 |
| 来源ID | Working Paper 8472 |
| The Information Content of International Portfolio Flows | |
| Kenneth A. Froot; Tarun Ramadorai | |
| 发表日期 | 2001-09-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We examine the forecasting power of international portfolio flows for local equity markets and attempt to attribute it to either better information about fundamentals on the part of international investors, or to price pressure. Price pressure is a potential explanation because flows have positive contemporaneous price impacts and are strongly positively autocorrelated. We find that cross-border flows forecast both individual country equity market prices and associated US closed-end country fund prices, even after controlling for closed-end fund purchases. Cross-border flows have no discernable impact on the difference, the closed-end fund discount. This fact is consistent with the information story, which says that cross-border inflows predict no change in the discount, but forecast positive changes in both net asset values and closed-end fund prices. This fact also contradicts the price pressure story, which predicts that cross-border inflows increase local country equity prices, thereby increasing the closed-end fund discount. We also use our approach to test for the presence of trend following in cross-border flows based on relative, as well as absolute returns. Like other studies, we find evidence of trend following based on absolute returns. Interestingly, however, we find also that flows are trend reversing based on relative returns. Flows therefore seem to be stabilizing with respect to notions of relative, but not absolute, value. |
| 主题 | Financial Economics ; Financial Markets ; International Economics ; International Factor Mobility |
| URL | https://www.nber.org/papers/w8472 |
| 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/566076 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Tarun Ramadorai. The Information Content of International Portfolio Flows. 2001. |
| 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 | ||
| w8472.pdf（452KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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