The Dynamics of International Equity Market Expectations

Michael Brennan, Huining Cao (), Norman Strong and Xinzhong Xu

University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA

Abstract: This paper uses a noisy rational expectations model to derive predictions about the dynamic behaviour of the proportion of institutional money managers in a given country who are bullish about the equity market in different countries. The predictions are tested using monthly data for four countries for the period October 1995 to October 2000. The empirical findings are consistent with the hypothesis of informational asymmetries between capital market participants in diffent countries.

Date: 2003-04-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.escholarship.org/uc/item/88t154b5.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: The dynamics of international equity market expectations (2005)
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:cdl:anderf:qt88t154b5

Access Statistics for this paper

More papers in University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().