International Equity Flows and Returns: A Quantitative Equilibrium Approach

Rui Albuquerque (), Gregory H. Bauer () and Martin Schneider ()

Review of Economic Studies, 2007, vol. 74, issue 1, pages 1-30

Abstract: This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: ("i") both the foreign and domestic populations contain investors with superior information sets; and ("ii") these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about U.S. investors' international equity trades: ("i") trading by U.S. investors occurs in waves of" simultaneous "buying and selling; ("ii") U.S. investors build and unwind foreign equity positions gradually; and ("iii") U.S. investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity" within "the foreign investor population is much more important than heterogeneity of investors across countries. Copyright 2007 Federal Reserve Bank of Minneapolis.

Date: 2007
View citations in EconPapers

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-937X.2007.00412.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2005)
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2004)
Working Paper: International equity flows and returns: a quantitative equilibrium approach (2005)
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2004)
Working Paper: International equity flows and returns: A quantitative equilibrium approach (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:restud:v:74:y:2007:i:1:p:1-30

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0034-6527

Access Statistics for this article

Review of Economic Studies is edited by Andrea Prat, Bruno Biais, Kjetil Storesletten and Enrique Sentana

More articles in Review of Economic Studies from Blackwell Publishing
Series data maintained by Christopher F. Baum ().