Foreigners' Trading and Price Effects Across Firms |
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2000 annual rate aggregate net purchases Andrei Shleifer average BRD axis is expressed Buy Ratio Differences buy-and-hold portfolio CEPR confidence bands contemporaneous cost of equity covariance difference cumulative net purchases Dahlquist and Robertsson Dani Rodrik Discussion Papers Dividend yield Economics Electronic equity capital expressed in months figure shows find that foreigners Firm Characteristics firm's flows and returns foreign investors foreign ownership foreign trading foreigners buy Gordon Brown Goswell Road held by foreign Hernando De Soto impulse-response function International 110 invest Labour Economics market capitalization market liberalization market portfolio market value normalized net purchases p-values period price impacts protectionist purchases and sales purchases plus sales rebalanced portfolio regressions Return Differences Robertsson 2001 Seasholes 2000 SEK billion shock with 90 shows the impulse-response Simeon Djankov standard deviation shock Swedish firms Swedish market Swedish stocks system with world trading by foreign various horizons Wald test world market returns zero