Information and the dispersion of cross-border equity holdings
Résumé
This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We present a multi-asset rational expectations equilibrium model in which agents have information about asset-specific components of payoff and/or information about components that affect many stocks' payoffs.
Domaines
Gestion et management| Origine | Fichiers produits par l'(les) auteur(s) |
|---|