메뉴 건너뛰기




Volumn 74, Issue 1, 2007, Pages 1-30

International equity flows and returns: A quantitative equilibrium approach

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL FLOW; INVESTMENT; NUMERICAL MODEL; QUANTITATIVE ANALYSIS; STOCK MARKET;

EID: 33846000973     PISSN: 00346527     EISSN: 1467937X     Source Type: Journal    
DOI: 10.1111/j.1467-937X.2007.00412.x     Document Type: Article
Times cited : (44)

References (23)
  • 3
    • 0002518156 scopus 로고    scopus 로고
    • "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?"
    • BOHN, H. and TESAR, L. L. (1996), "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?", American Economic Review Papers and Proceedings, 86, 77-81.
    • (1996) American Economic Review Papers and Proceedings , vol.86 , pp. 77-81
    • Bohn, H.1    Tesar, L.L.2
  • 4
    • 0040747533 scopus 로고    scopus 로고
    • "International Portfolio Investment Flows"
    • BRENNAN, M. J. and CAO, H. H. (1997), "International Portfolio Investment Flows", Journal of Finance, 52, 1851-1880.
    • (1997) Journal of Finance , vol.52 , pp. 1851-1880
    • Brennan, M.J.1    Cao, H.H.2
  • 5
    • 84960560786 scopus 로고
    • "Smart Money, Noise Trading and Stock Price Behavior"
    • CAMPBELL, J. and KYLE, A. S. (1993), "Smart Money, Noise Trading and Stock Price Behavior", Review of Economic Studies, 60, 1-34.
    • (1993) Review of Economic Studies , vol.60 , pp. 1-34
    • Campbell, J.1    Kyle, A.S.2
  • 6
    • 0000759899 scopus 로고    scopus 로고
    • "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997"
    • CHOE, H., KHO, B. and STULZ, R. M. (1999), "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997", Journal of Financial Economics, 54, 227-264.
    • (1999) Journal of Financial Economics , vol.54 , pp. 227-264
    • Choe, H.1    Kho, B.2    Stulz, R.M.3
  • 8
    • 0003317085 scopus 로고
    • "Economic Growth and Business Cycles"
    • in T. F. Cooley (ed.) (Princeton: Princeton University Press)
    • COOLEY, T. F. and PRESCOTT, E. C. (1995), "Economic Growth and Business Cycles", in T. F. Cooley (ed.) Frontiers of Business Cycle Research (Princeton: Princeton University Press), 1-38.
    • (1995) Frontiers of Business Cycle Research , pp. 1-38
    • Cooley, T.F.1    Prescott, E.C.2
  • 10
    • 0142119248 scopus 로고    scopus 로고
    • "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?"
    • DUMAS, B., HARVEY, C. R. and RUIZ, P. (2003), "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?", Journal of International Money and Finance, 22, 777-811.
    • (2003) Journal of International Money and Finance , vol.22 , pp. 777-811
    • Dumas, B.1    Harvey, C.R.2    Ruiz, P.3
  • 11
    • 17644440307 scopus 로고    scopus 로고
    • "Gross Capital Flows and Asymmetric Information"
    • DVORAK, T. (2003), "Gross Capital Flows and Asymmetric Information", Journal of International Money and Finance, 22, 835-864.
    • (2003) Journal of International Money and Finance , vol.22 , pp. 835-864
    • Dvorak, T.1
  • 12
    • 4344657643 scopus 로고    scopus 로고
    • "Decomposing the Persistence of International Equity Flows"
    • FROOT, K. A. and DONOHUE, J. T. (2004), "Decomposing the Persistence of International Equity Flows", Finance Research Letters, 1, 154-170.
    • (2004) Finance Research Letters , vol.1 , pp. 154-170
    • Froot, K.A.1    Donohue, J.T.2
  • 15
    • 0033634041 scopus 로고    scopus 로고
    • "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set"
    • GRINBLATT, M. and KELOHARJU, M. (2000), "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set", Journal of Financial Economics, 55, 43-67.
    • (2000) Journal of Financial Economics , vol.55 , pp. 43-67
    • Grinblatt, M.1    Keloharju, M.2
  • 16
    • 85017108575 scopus 로고
    • "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models"
    • HANSEN, L. P. and SINGLETON, K. J. (1982), "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models", Econometrica, 50, 1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 17
    • 29344446166 scopus 로고    scopus 로고
    • "Exchange Rates, Equity Prices, and Capital Flows"
    • HAU, H. and REY, H. (2006), "Exchange Rates, Equity Prices, and Capital Flows", Review of Financial Studies, 19, 273-317.
    • (2006) Review of Financial Studies , vol.19 , pp. 273-317
    • Hau, H.1    Rey, H.2
  • 18
    • 77956739087 scopus 로고    scopus 로고
    • "Resuscitating Real Business Cycles"
    • in J. B. Taylor and M. Woodford (eds.) (Amsterdam: Elsevier North-Holland)
    • KING, R. G. and REBELO, S. T. (1999), "Resuscitating Real Business Cycles", in J. B. Taylor and M. Woodford (eds.) Handbook of Macroeconomics, Vol. 1B (Amsterdam: Elsevier North-Holland), 927-1007.
    • (1999) Handbook of Macroeconomics , vol.1 B , pp. 927-1007
    • King, R.G.1    Rebelo, S.T.2
  • 19
    • 84977707554 scopus 로고
    • "A Simple Model of Capital Market Equilibrium with Incomplete Information"
    • MERTON, R. (1987), "A Simple Model of Capital Market Equilibrium with Incomplete Information", Journal of Finance, 42, 483-510.
    • (1987) Journal of Finance , vol.42 , pp. 483-510
    • Merton, R.1
  • 20
    • 14644417866 scopus 로고    scopus 로고
    • "The Determinants of Cross-Border Equity Flows"
    • PORTES, R. and REY, H. (2005), "The Determinants of Cross-Border Equity Flows", Journal of International Economics, 65, 269-296.
    • (2005) Journal of International Economics , vol.65 , pp. 269-296
    • Portes, R.1    Rey, H.2
  • 21
    • 0036112020 scopus 로고    scopus 로고
    • "The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence"
    • SHAPIRO, A. (2002), "The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence", Review of Financial Studies, 15, 97-141.
    • (2002) Review of Financial Studies , vol.15 , pp. 97-141
    • Shapiro, A.1
  • 22
    • 0002960368 scopus 로고    scopus 로고
    • "International Portfolio Flows and Security Markets"
    • in M. Feldstein (ed.) (Chicago: University of Chicago Press)
    • STULZ, R. M. (1999), "International Portfolio Flows and Security Markets", in M. Feldstein (ed.) International Capital Flows (Chicago: University of Chicago Press), 257-293.
    • (1999) International Capital Flows , pp. 257-293
    • Stulz, R.M.1
  • 23
    • 84937302781 scopus 로고
    • "A Model of Competitive Stock Trading Volume"
    • WANG, J. (1994), "A Model of Competitive Stock Trading Volume", Journal of Political Economy, 102, 127-168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.