The Information Content of International Portfolio Flows

We examine the forecasting power of international portfolio flows for local equity markets and attempt to attribute it to either better information about fundamentals on the part of international investors, or to price pressure. Price pressure is a potential explanation because flows have positive

搜集汇总

背景与挑战

背景概述

该数据集基于NBER工作论文，研究国际投资组合流动对股票市场的预测能力，核心发现是跨境流动能预测市场价格，且不影响封闭式基金折价，支持信息优势解释而非价格压力。同时，流动在绝对回报上呈现趋势跟随，但在相对回报上呈现趋势逆转，表明其在相对价值方面具有稳定作用。