Information and the dispersion of cross-border equity holdings

V. Covrig, P. Fontaine, S. Jimenez-Garces () and Mark Seasholes
Additional contact information
V. Covrig: CSUN - California State University [Northridge]
P. Fontaine: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
S. Jimenez-Garces: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Mark Seasholes: HKUST - Hong Kong University of Science and Technology

Post-Print from HAL

Abstract: This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We present a multi-asset rational expectations equilibrium model in which agents have information about asset-specific components of payoff and/or information about components that affect many stocks' payoffs.

Keywords: Information economics; REE Models (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00533116v1
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in 2009, 44p

Downloads: (external link)
https://shs.hal.science/halshs-00533116v1/document (application/pdf)

Related works:
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:hal:journl:halshs-00533116

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().