This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We present a multi-asset rational expectations equilibrium model in which agents have information about asset-specific components of payoff and/or information about components that affect many stocks' payoffs.Information economics ; REE Models

Mark Seasholes

P. Fontaine

S. Jimenez-Garces

V. Covrig

Czech

Research Papers in Economics

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Information and the dispersion of cross-border equity holdings

http://halshs.archives-ouvertes.fr/docs/00/53/31/16/PDF/cr_2009_11_E2.pdf

Information and the dispersion of cross-border equity holdings

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Research Papers in Economics