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- W2062718335 abstract "Purpose – The purpose of this research is to understand the long‐run dynamics between returns, commodity prices, volatility, and US equity investment into Brazil. This research is prompted by the rapid increase in foreign equity investment into Brazil.Design/methodology/approach – To address long‐run dynamic nature of the variables, multivariate autoregressive model is fitted for the period of January 1998 to May 2008. To achieve identification of this model, restrictions are imposed based on underlying financial theory and the nature of the data.Findings – The paper finds consistent with a long literature, that US institutional equity investment is forecasted by past returns on the Brazilian stock index (BOVESPA). The paper also documents the important role of commodity prices in forecasting US equity flows to Brazil, a variable that has not been considered in much of existing literature. Finally, the paper uncovers a strong relationship between US equity flows to Brazil and measures of risk. The paper d..." @default.
- W2062718335 created "2016-06-24" @default.
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- W2062718335 date "2012-08-03" @default.
- W2062718335 modified "2023-10-18" @default.
- W2062718335 title "A note on US institutional equity flows to Brazil" @default.
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- W2062718335 doi "https://doi.org/10.1108/14757701211252609" @default.
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