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International portfolio investment flows

Article Abstract:

This article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United States (U.S.) equity portfolio flows. (Reprinted by permission of the publisher.)

Author: Brennan, Michael J., Cao, H. Henry
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1997
Research, Models, Foreign investments, International aspects, Portfolio management, Capital movements

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Time-invariant portfolio insurance strategies

Article Abstract:

This paper characterizes the complete class of time-invariant portfolio insurance strategies and derives the corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio. Time-invariant strategies are shown to correspond to the long-run policies for a broad class of portfolio insurance payoff functions. (Reprinted by permission of the publisher.)

Author: Schwartz, Eduardo S., Brennan, Michael J.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1988
Management, Investments, Portfolio insurance

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Estimation and test of a simple model of intertemporal capital asset pricing

Article Abstract:

A simple valuation model for testing cross-sectional asset pricing, is developed using time-varying investment opportunities. This model analyzes the yields of U.S. Treasury bonds.

Author: Xia, Yihong, Brennan, Michael J., Wang, Ashley W.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
United States, Capital funds & cash flow, Analysis, Usage, Valuation, Treasury securities, Capital assets pricing model, Capital asset pricing model, Time-series analysis, Time series analysis, Treasury bonds

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