Abstract

http://ssrn.com/abstract=1876447
 
 

References (48)



 
 

Citations (12)



 


 



Differences of Opinion and International Equity Markets


Bernard Dumas


INSEAD; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Karen K. Lewis


University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

Emilio Osambela


Board of Governors of the Federal Reserve System

April 12, 2016

INSEAD Working Paper No. 2016/24/FIN

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.

Number of Pages in PDF File: 70


Open PDF in Browser Download This Paper

Date posted: July 1, 2011 ; Last revised: April 12, 2016

Suggested Citation

Dumas, Bernard and Lewis, Karen K. and Osambela, Emilio, Differences of Opinion and International Equity Markets (April 12, 2016). INSEAD Working Paper No. 2016/24/FIN. Available at SSRN: http://ssrn.com/abstract=1876447 or http://dx.doi.org/10.2139/ssrn.1876447

Contact Information

Bernard Dumas (Contact Author)
INSEAD ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 60 72 49 92 (Phone)
+33 1 60 72 40 45 (Fax)
HOME PAGE: http://www.insead.fr/~dumas/

INSEAD Logo

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Karen Kay Lewis
University of Pennsylvania - Finance Department ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7637 (Phone)
215-898-6200 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Emilio Osambela
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Feedback to SSRN


Paper statistics
Abstract Views: 642
Downloads: 81
Download Rank: 50,970
References:  48
Citations:  12

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.266 seconds