Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Berko, Elizabeth 

Report
Foreign investment fluctuations and emerging market stock returns: the case of Mexico
We investigate the economically and statistically significant positive correlation between monthly foreign purchases of Mexican stocks and Mexican stock returns. We find that 1 percent of market capitalization surprise foreign inflow is associated with a 13 percent increase in Mexican stock prices. We explore whether this correlation might be explained by permanent reductions in conditional expected returns resulting from expansion of the investor base along the lines modeled by Merton (1987) or correlations with other factors causing returns, price pressures, or positive feedback strategies by foreign investors, and conclude that the available evidence is consistent with the base-broadening hypothesis.
AUTHORS: Berko, Elizabeth; Clark, John
DATE: 1996

Report
Foreign investment fluctuations and emerging market stock returns: the case of Mexico
We investigate the economically and statistically significant positive correlation between monthly foreign purchases of Mexican stocks and Mexican stock returns. We find that a 1 percent of market capitalization surprise foreign inflow is associated with a 13 percent increase in Mexican stock prices. We explore whether this correlation might be explained by permanent reductions in conditional expected returns resulting from expansion of the investor base along the lines modeled by Merton (1987), or correlations with other factors causing returns, price pressures, or positive feedback strategies by foreign investors, and conclude that the available evidence is consistent with the base-broadening hypothesis.
AUTHORS: Clark, John; Berko, Elizabeth
DATE: 1997

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 2 items

FILTER BY Author

Clark, John 2 items

FILTER BY Keywords

PREVIOUS / NEXT