Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152744 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
ECB Working Paper No. 310
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors’ international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build and unwind foreign equity positions gradually and (iii ) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.
Schlagwörter: 
asset pricing
Asymmetric information
heterogenous investors
international
JEL: 
F30
G12
G14
G15
Dokumentart: 
Working Paper

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