International Equity Flows and Returns: A Quantitative Equilibrium Approach

DOI10.1111/J.1467-937X.2007.00412.XMaRDI QIDQ5293363zbMATH OpenOpenAlexFDO

Authors Rui Albuquerque, Gregory H. Bauer, Martin Schneider

Publication date 2 July 2007

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2007.00412.x

Mathematics Subject Classification ID

Trade models (91B60) Actuarial science and mathematical finance (91G99)

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Cited in

(14)

• An empirical evaluation of international capital flows for developing countries.
• International portfolio flows with growth shocks
• Cojumps and asset allocation in international equity markets
• Solving DSGE portfolio choice models with dispersed private information
• Modeling trading behavior in the Japanese stock market during QE tapering and post-QE exit
• How to maximize the likelihood function for a DSGE model
• Advance information and asset prices
• The cyclical behavior of equity turnover
• Cross-border returns differentials
• MARKET SEGMENTATION AND NOISE TRADER RISK
• A Dynamic Equilibrium Model of International Portfolio Holdings
• Does foreign information predict the returns of multinational firms worldwide?
• A dynamic equilibrium model of imperfectly integrated financial markets
• Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets

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