Froot, Kenneth and Ramadorai, Tarun (2008) Institutional portfolio flows and international investments. The Review of Financial Studies, 21 (2). pp. 937-971.
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.
|Keywords:||Portfolio Choice; Investment Decisions; International Investment; Long-Term Capital Movements|
|Centre:||Faculty of Finance|
|Date Deposited:||01 Apr 2012 12:59|
|Last Modified:||23 Oct 2015 14:07|
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