search query: @indexterm INTERNATIONAL ECONOMICS / total: 437
reference: 15 / 437
| Author: | Brennan, M.J. (et al.) |
| Title: | The dynamics of international equity market expectations |
| Journal: | Journal of Financial Economics
2005 : AUG, VOL. 77:2, p. 257-288 |
| Index terms: | asymmetric information foreign investment international economics rational expectations stock markets |
| Language: | eng |
| Abstract: | A noisy rational expectations model is here developed of the way in which international investors adjust their expectations of asset payoffs in a given country in response not only to public information signals but also to private information signals whose precision differs across investors. The model predicts that the perceptions of investors in one country about the future market returns in another country are related differently to realized past returns depending on their informational disadvantage, the greater is the change in perception associated with returns. |
SCIMA