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- W2169824479 abstract "This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets 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 waves of simultaneous buying and selling; (ii) US investors 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." @default.
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- W2169824479 date "2005-01-01" @default.
- W2169824479 modified "2023-09-25" @default.
- W2169824479 title "International Equity Flows and Returns: A Quantitative Equilibrium Approach" @default.
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- W2169824479 doi "https://doi.org/10.2139/ssrn.472424" @default.
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