Differences of Opinion and International Equity Markets

Bernard Dumas (), Karen Lewis and Emilio Osambela

No 16726, NBER Working Papers from National Bureau of Economic Research, Inc

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 investors in the interpretation of home public signals impact equity markets. We evaluate the ability of our model to generate four international finance anomalies: (i) the co-movement of returns and 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. Their relationships with empirical differences-of-opinion proxies are consistent with the model.

JEL-codes: F3 G11 G12 G15 (search for similar items in EconPapers)
Date: 2011-01
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Published as "Differences of Opinion and International Equity Markets," BERNARD DUMAS, K. K. LEWIS, and E. OSAMBELA, Review of Financial Studies, 30 (2017), 750-800.

Downloads: (external link)
http://www.nber.org/papers/w16726.pdf (application/pdf)

Related works:
Journal Article: Differences of Opinion and International Equity Markets (2017)
Working Paper: Differences of Opinion and International Equity Markets (2014)
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:nbr:nberwo:16726

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16726

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().