Institutional portfolio flows and international investments

Froot, Kenneth and Ramadorai, Tarun (2008) Institutional portfolio flows and international investments. The Review of Financial Studies, 21 (2). pp. 937-971.

Abstract

Using a new technique, and weekly data for 25 countries from 1994 to 1998, we analyze the relationship between institutional cross-border portfolio flows, and domestic and foreign equity returns. In emerging markets, institutional flows forecast statistically indistinguishable movements in country closed-end fund NAV returns and price returns. In contrast, closed-end fund flows forecast price returns, but not NAV returns. Furthermore, institutional flows display trend-following (trend-reversing) behavior in response to symmetric (asymmetric) movements in NAV and price returns. The results suggest that institutional cross-border flows are linked to fundamentals, while closed-end fund flows are a source of price pressure in the short run.

Item Type: Article
Keywords: Portfolio Choice; Investment Decisions; International Investment; Long-Term Capital Movements; finance
Subject(s): Finance
Date Deposited: 01 Apr 2012 12:59
Last Modified: 27 Feb 2017 10:02
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/3082

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