Global Private Information in International Equity Markets

Martin Schneider, Rui Albuquerque and ,

No 5819, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors? trading behaviour and performance. In particular, the model predicts global return chasing - positive comovement of US investors? net purchases with returns in many countries - which we show to be present in the data. Return chasing in our model can be due to superior performance of US investors, not inferior knowledge or naive trend-following. We also show that trades due to private information are strongly correlated across countries: a common 'global' factor accounts for about half their variation.

Keywords: Private information; Global private information; Asymmetric information; Portfolio choice; International equity flows and returns; Home bias; Return chasing (search for similar items in EconPapers)
JEL-codes: F36 G12 G14 G15 (search for similar items in EconPapers)
Date: 2006-09
New Economics Papers: this item is included in nep-cfn and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://cepr.org/publications/DP5819 (application/pdf)

Related works:
Journal Article: Global private information in international equity markets (2009)
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:cpr:ceprdp:5819

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP5819

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().