International Equity Flows and Returns: A Quantitative Equilibrium Approach
构建了一个定量模型，假设国内外投资者中都有信息优势者且能接触私人投资机会，统一解释了美国投资者国际股权交易的三个典型事实，对理解外资在发达市场中的作用有参考价值。
This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about U.S. investors' international equity trades: (i) trading by U.S. investors occurs in waves of simultaneous buying and selling; (ii) U.S. investors build and unwind foreign equity positions gradually; and (iii) U.S. investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. Copyright 2007, Wiley-Blackwell.