International Portfolio Equity Flows

Journal of Finance, Vol 52 No. 4, December 1997

Posted: 12 Apr 1998

See all articles by Michael J. Brennan

Michael J. Brennan

University of California, Los Angeles (UCLA) - Finance Area

H. Henry Cao

University of North Carolina (UNC) at Chapel Hill - Finance Area

Abstract

This paper develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on U.S. equity portfolio flows.

JEL Classification: G12, G15

Suggested Citation

Brennan, Michael John and Cao, Huining Henry, International Portfolio Equity Flows. Journal of Finance, Vol 52 No. 4, December 1997. Available at SSRN: https://ssrn.com/abstract=55064

Michael John Brennan

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825 3587 (Phone)
310-206 8419 (Fax)

Huining Henry Cao (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,008
PlumX Metrics