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Differences of Opinion and International Equity Markets
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Journal Article
Differences of Opinion and International Equity Markets
2017
Overview
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.
Publisher
Oxford University Press for The Society for Financial Studies,Oxford Univ. Press,Oxford Publishing Limited (England)
