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aggregate net purchases analysis analyze average BRD axis is expressed billion Buy Ratio Differences confidence bands cost of equity covariance difference cumulative net purchases Dahlquist and Robertsson Discussion Papers Dividend yield domestic investors equity capital equity market expressed in months find that foreigners firm characteristics firm's flows and returns foreign investors foreign ownership foreign trading foreigners buy fraction of foreign Froot future winning stocks Grinblatt and Keloharju gross purchases held by foreign Hence impulse-response function individual firms informed trading Kang and Stulz Keloharju 2000 large firms market capitalization market liberalization market portfolio monthly return p-values positive price impacts price increase protectionist purchases and sales rebalanced portfolio reduction regression reported return difference risk sharing Robertsson 2001 Seasholes 2000 shock with 90 standard deviation shock stock market subscription Sweden Swedish firms Swedish market Swedish stocks system with world trading by foreigners turnover rate various horizons world market returns