International Portfolio Investment Flows
基于国内外投资者信息禀赋差异，构建国际股票组合投资流动模型，发现国内投资者信息优势导致其高买低卖外国资产，并用美国数据检验。
This article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United States (U.S.) equity portfolio flows.