Differences of Opinion and International Equity Markets

Bernard Dumas (bernard.dumas@insead.edu), Karen Lewis and Emilio Osambela

No 2010-E79, GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic (foreign) investors in the interpretation of home (foreign) public signals impact equity markets. Our model generates four standard international pricing anomalies: (i) the co-movement of returns and international capital flows; (ii) home equity preference; (iii) the dependence of firm returns on home and foreign factors; and (iv) abnormal returns around foreign firm cross-listing in the home market.

Date: 2014-10
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1570168

Related works:
Journal Article: Differences of Opinion and International Equity Markets (2017)
Working Paper: Differences of Opinion and International Equity Markets (2011)
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:cmu:gsiawp:1289331517

Ordering information: This working paper can be ordered from
https://student-3k.t ... /gsiadoc/GSIA_WP.asp

Access Statistics for this paper

More papers in GSIA Working Papers from Carnegie Mellon University, Tepper School of Business Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890.
Bibliographic data for series maintained by Steve Spear (ss1f@andrew.cmu.edu).