Information and the dispersion of cross-border equity holdings

V. Covrig (1) , P. Fontaine (2) , S. Jimenez-Garces (2) , Mark Seasholes (3)

1 CSUN - California State University [Northridge]
2 CERAG - Centre d'études et de recherches appliquées à la gestion
3 HKUST - Hong Kong University of Science and Technology

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.

Mots clés: Information economics; REE Models

Domaines: Gestion et management

V. Covrig, P. Fontaine, S. Jimenez-Garces, Mark Seasholes. Information and the dispersion of cross-border equity holdings. 2009, 44p. ⟨halshs-00533116⟩