Differences of Opinion and International Equity Markets

作者：Dumas Bernard; Lewis Karen K; Osambela Emilio

来源：Review of Financial Studies, 2017, 30(3): 750-800.

DOI：10.1093/rfs/hhw083

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.

• 出版日期2017-3
• 单位INSEAD