Differences of Opinion and International Equity Markets

Loading...
Thumbnail Image
Penn collection
Finance Papers
Degree type
Discipline
Subject
Economics
Finance
Finance and Financial Management
Funder
Grant number
License
Copyright date
Distributor
Related resources
Author
Dumas, Bernard
Lewis, Karen K
Osambela, Emilio
Contributor
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 of domestic investors in the interpretation of home public signals affect 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.

Advisor
Date Range for Data Collection (Start Date)
Date Range for Data Collection (End Date)
Digital Object Identifier
Series name and number
Publication date
2017-01-01
Journal title
The Review of Financial Studies
Volume number
Issue number
Publisher
Publisher DOI
Journal Issue
Comments
Recommended citation
Collection