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

November 15, 2006


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: 54

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

working papers series





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Date posted: August 8, 2006  

Suggested Citation

Albuquerque, Rui A. and Bauer, Gregory H. and Schneider, Martin, Global Private Information in International Equity Markets (November 15, 2006). 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
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References:  47
Citations:  17

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