International Equity Flows and Returns: A Quantitative Equilibrium Approach
Rui Albuquerque (),
Gregory Bauer () and
Martin Schneider ()
Staff Working Papers from Bank of Canada
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
New Economics Papers: this item is included in nep-bec and nep-fin
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Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2005)
Working Paper: International equity flows and returns: a quantitative equilibrium approach (2005)
Working Paper: International equity flows and returns: a quantative equilibrium approach (2004)
Working Paper: International Equity Flows and Returns: A Quantitative Equilibrium Approach (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:04-42
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