Equity order flow and exchange rate dynamics

This paper contributes to the literature on international portfolio choice in several ways. First, I generalize the model of Dunne et al. (2010) and derive order flow as the result of correlated belief changes by heterogeneous investors. This strategy delivers testable implications for the daily dyn...

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Veröffentlicht in:	Journal of empirical finance 2012-06, Vol.19 (3), p.359-381
1. Verfasser:	Ferreira Filipe, Sara
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital market Equity Exchange rates International portfolio rebalancing Investment Order flow Portfolio selection Stock exchange Stock returns U.S.A
Online-Zugang:	Volltext
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