| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3014
|
| DP3014 A Theory of Reciprocity |
| Armin Falk; Urs Fischbacher
|
| 发表日期 | 2001-10-23
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or equivalently, a permanent reduction of the cost of equity capital. We also find a strong link between a firm's fraction of foreign ownership and the magnitude of the reduction of cost of capital. Foreign investors seem to prefer large and well-known firms, and these firms realize the most sizeable cuts in capital costs. Furthermore, our analysis suggests that foreigners act like non-informed feedback traders. In particular, they increase their net holding in firms that have recently performed well. Analysing foreigners' performance, we find very little evidence of informed trading, suggesting that risk sharing is the most plausible explanation for the reduction in the cost of equity capital. |
| 主题 | Financial Economics
|
| 关键词 | Feedback trading
Momentum
Portfolio flows
|
| URL | https://cepr.org/publications/dp3014
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532044
|
推荐引用方式
GB/T 7714 |
Armin Falk,Urs Fischbacher. DP3014 A Theory of Reciprocity. 2001.
|
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