International Equity Flows and Returns: A Quantitative Equilibrium Approach

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private off-market investments. A quantitative model with these assumptions delivers a unified explanation for three stylized facts about U.S. investors’ international equity trades that have been documented in the literature: (i) trading by U.S. investors occurs in bursts of simultaneous buying and selling, (ii) Americans build and unwind foreign equity positions gradually, and (iii) U.S. investors increase their market share in a country when stock prices in that country have recently been rising.Financial markets; International topics; Market structure and pricing

International equity flows and returns: a quantitative equilibrium approach

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors’ international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build and unwind foreign equity positions gradually and (iii ) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.Asymmetric information, heterogenous investors, asset pricing, international equity flows, international equity returns

Mobility Increases the Data Offloading Ratio in D2D Caching Networks

Caching at mobile devices, accompanied by device-to-device (D2D) communications, is one promising technique to accommodate the exponentially increasing mobile data traffic. While most previous works ignored user mobility, there are some recent works taking it into account. However, the duration of user contact times has been ignored, making it difficult to explicitly characterize the effect of mobility. In this paper, we adopt the alternating renewal process to model the duration of both the contact and inter-contact times, and investigate how the caching performance is affected by mobility. The data offloading ratio, i.e., the proportion of requested data that can be delivered via D2D links, is taken as the performance metric. We first approximate the distribution of the communication time for a given user by beta distribution through moment matching. With this approximation, an accurate expression of the data offloading ratio is derived. For the homogeneous case where the average contact and inter-contact times of different user pairs are identical, we prove that the data offloading ratio increases with the user moving speed, assuming that the transmission rate remains the same. Simulation results are provided to show the accuracy of the approximate result, and also validate the effect of user mobility.Comment: 6 pages, 5 figures, accepted to IEEE Int. Conf. Commun. (ICC), Paris, France, May 201