NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Mark S. Seasholes

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Working Papers

August 1998The Portfolio Flows of International Investors, I
with Kenneth A. Froot, Paul G.J. O'Connell: w6687
This paper explores the behavior of daily, international portfolio flows into and out of 46 countries from 1994 through 1998. Our data are from State Street Bank & Trust and encompass over 3 million trades by client institutions. We find a number of interesting facts. First, we detect regional factors within the flows. Second, the flows are strongly persistent -- the persistence decays only slowly over time. Third, flows are strongly influenced by past returns, so that investor trend-following is apparent. Fourth forecasting power for future emerging market returns, but not for developed country returns. Fifth, we find the sensitivity of local stock prices to foreign inflows to be positive and determine that transitory inflows impact future returns negatively. Finally, we examine a...

Published: Froot, Kenneth A., Paul G. J. O'Connell and Mark S. Seasholes. "The Portfolio Flows Of International Investors," Journal of Financial Economics, 2001, v59(2,Feb), 151-193. citation courtesy of

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