Abstract

http://ssrn.com/abstract=922695
 
 

References (47)



 
 

Citations (17)



 


 



Global Private Information in International Equity Markets


Rui A. Albuquerque


Boston University - School of Management; Católica-Lisbon School of Business and Economics; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Gregory H. Bauer


Bank of Canada

Martin Schneider


Independent

September 1, 2008

Journal of Financial Economics (JFE), Vol. 94, 2009

Abstract:     
This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that “global” private information helps understand US investors’ trading behavior and performance. In particular, the model predicts global return chasing — positive comovement of US investors’ net purchases with returns in many countries — which we show to be present in the data. Return chasing in our model can be due to superior performance of US investors, not inferior knowledge or naive trend-following. We also show that trades due to private information are strongly correlated across countries: a common “global” factor accounts for about half their variation.

Number of Pages in PDF File: 61

Keywords: Private information, global private information, asymmetric information, portfolio choice, international equity flows and returns, home bias, return chasing

JEL Classification: F36, G12, G14, G15


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Date posted: August 8, 2006 ; Last revised: December 28, 2014

Suggested Citation

Albuquerque, Rui A. and Bauer, Gregory H. and Schneider, Martin, Global Private Information in International Equity Markets (September 1, 2008). Journal of Financial Economics (JFE), Vol. 94, 2009. Available at SSRN: http://ssrn.com/abstract=922695 or http://dx.doi.org/10.2139/ssrn.922695

Contact Information

Rui A. Albuquerque (Contact Author)
Boston University - School of Management ( email )
595 Commonwealth Avenue
Boston, MA MA 02215
United States
HOME PAGE: http://people.bu.edu/ralbuque/
Católica-Lisbon School of Business and Economics ( email )
Caminho da Palma de Cima
Lisbon, 1649-023
Portugal
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Gregory H. Bauer
Bank of Canada ( email )
234 Laurier St
Ottawa, Ontario K1A 0G9
Canada
613-782-7693 (Phone)
Martin Schneider
Independent ( email )
No Address Available
United States
Feedback to SSRN


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References:  47
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