We show that the impact of foreign investors' portfolio flows on the domestic equity market depends crucially on the costs and ease of access to trading domestic securities. We examine all foreign portfolio flows in two long sub-samples where trading costs and market access are substantially...

Value and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia while at the same time being negatively correlated. The...