| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9079 |
| 来源ID | Working Paper 9079 |
| Decomposing the Persistence of International Equity Flows | |
| Kenneth A. Froot; Jessica D. Tjornhom | |
| 发表日期 | 2002-07-25 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | The portfolio flows of institutional investors are widely known to be persistent. What is less well known, however, is the source of this persistence. One possibility is the ?informed trading hypothesis?: that persistence arises from autocorrelated trades of investors who believe they have information about value and who face an imperfectly liquid market. Another possibility is that there are asynchroneities with respect to investment decisions across funds, across investments, or both. These asynchroneities could be due to wealth effects (across investments for a single fund), investor herding (across funds for a single investment), or generalized contagion (across funds and across investments). We use daily data on institutional flows into 21 developed countries by 471 funds to measure and decompose aggregate flow persistence. We find that the informed trading hypothesis explains about 75% of total persistence, and that the remaining amount is attributable entirely to cross-fund own-country persistence. In other words, we find statistically and economically significant flow asynchroneities across funds investing in the same country. There are no meaningful asynchroneities across countries, either within a given fund, or across funds. The cross-fund flow lags we identify might result from different fund investment processes, or from some funds mimicking others? decisions. We reject the hypothesis that wealth effects explain persistence. |
| 主题 | Financial Economics ; Financial Markets ; International Economics ; International Factor Mobility |
| URL | https://www.nber.org/papers/w9079 |
| 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/566688 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Jessica D. Tjornhom. Decomposing the Persistence of International Equity Flows. 2002. |
| 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 | ||
| w9079.pdf（736KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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