Finance Papers

Document Type

Journal Article

Date of this Version

2017

Publication Source

The Review of Financial Studies

Volume

30

Issue

3

Start Page

750

Last Page

800

DOI

10.1093/rfs/hhw083

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.

Copyright/Permission Statement

This is a pre-copyedited, author-produced PDF of an article accepted for publication in The Review of Financial Studies following peer review. The version of record Bernard Dumas, Karen K. Lewis, Emilio Osambela; Differences of Opinion and International Equity Markets. Rev Financ Stud 2017; 30 (3): 750-800. doi: 10.1093/rfs/hhw083 is available online at: http://dx.doi.org/10.1093/rfs/hhw083

Embargo Date

10-10-2019

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Date Posted: 27 November 2017

This document has been peer reviewed.