EconPapers    
Economics at your fingertips  
 

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Rui Albuquerque, Gregory Bauer and Martin Schneider

Staff Working Papers from Bank of Canada

Abstract: The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private off-market investments. A quantitative model with these assumptions delivers a unified explanation for three stylized facts about U.S. investors’ international equity trades that have been documented in the literature: (i) trading by U.S. investors occurs in bursts of simultaneous buying and selling, (ii) Americans build and unwind foreign equity positions gradually, and (iii) U.S. investors increase their market share in a country when stock prices in that country have recently been rising.

Keywords: Financial markets; International topics; Market structure and pricing (search for similar items in EconPapers)
JEL-codes: F30 G12 G14 G15 (search for similar items in EconPapers)
Pages: 76 pages
Date: 2004
New Economics Papers: this item is included in nep-bec and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-42.pdf

Related works:
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2005) Downloads
Working Paper: International equity flows and returns: a quantitative equilibrium approach (2005) Downloads
Working Paper: International equity flows and returns: a quantative equilibrium approach (2004) Downloads
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2004) Downloads
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:bca:bocawp:04-42

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-24
Handle: RePEc:bca:bocawp:04-42