EconPapers    
Economics at your fingertips  
 

Country Funds and Asymmetric Information

Jeffrey Frankel () and Sergio Schmukler ()

International Journal of Finance & Economics, 2000, vol. 5, issue 3, 177-95

Abstract: This paper uses data on country funds to study the role of differential access to information on international investment. It shows that past changes in net asset values (NAVs) and discounts predict current country fund prices more commonly than prices and discounts predict NAVs. The price (NAV) adjustment coefficients are low and negatively correlated with the local (foreign) market variability--but not with the fund price (NAV) variability. These findings are consistent with the hypothesis of asymmetric information, according to which the holders of the underlying assets have more information about the local assets than the country fund holders do. Applications to currency crises and a theoretical model are also presented. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Country funds and asymmetric information (1998) Downloads
Working Paper: Country Funds and Asymmetric Information (1998) Downloads
Working Paper: Country Funds and Asymmetric Information (1997) Downloads
Working Paper: Country Funds and Asymmetric Information (1997)
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: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:5:y:2000:i:3:p:177-95

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-04-11
Handle: RePEc:ijf:ijfiec:v:5:y:2000:i:3:p:177-95