Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

The Dynamics of International Equity Market Expectations

Brennan, Michael J., Cao, H. Henry, Strong, Norman and Xu, Xinzhong 2005. The Dynamics of International Equity Market Expectations. Journal of Financial Economics 77 (2) , pp. 257-288. 10.1016/j.jfineco.2004.06.008

Full text not available from this repository.


This paper develops a noisy rational expectations model of the way in which international investors adjust their expectations of asset payoffs in a given country in response not only to public information signals but also to private information signals whose precision differs across investors. The model predicts that the perceptions of investors in one country about the future market returns in another country are related differently to realized past returns depending on their informational disadvantage relative to other investors: the greater is that informational disadvantage, the greater is the change in perception associated with returns. The predictions are confirmed by monthly survey data of institutional money managers investing in developed markets from 1995 to 2000.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Additional Information: Home bias ; International portfolio flows ; Asymmetric information ; Rational expectations ; Foreign investor informational disadvantage
ISSN: 0304-405X
Last Modified: 18 Oct 2017 10:43

Citation Data

Cited 121 times in Google Scholar. View in Google Scholar

Cited 49 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item