We investigate the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain the dynamics of high-frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors...

In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows...

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually,...

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation...

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...

Using a large sample of monthly gross flows from 1997 to 2003, we uncover several previously undocumented regularities in investor behavior. First, investor purchases and sales produce fund-level gross flows that are highly persistent. Persistence in fund flows dominates performance as a...