Differences of Opinion and International Equity Markets
构建了一个国际金融市场模型，研究国内外投资者对公共信号信息解读的差异如何影响股票市场，并解释了四种国际金融异象。
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.Received January 15, 2011; editorial decision May 16, 2016 by Editor Geert Bekaert.