TY  - JOUR
AU  - Froot,Kenneth A.
AU  - O'Connell,Paul G.J.
AU  - Seasholes,Mark S.
TI  - The Portfolio Flows of International Investors, I
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6687
PY  - 1998
Y2  - August 1998
UR  - http://www.nber.org/papers/w6687
L1  - http://www.nber.org/papers/w6687.pdf
N1  - Author contact info:
Kenneth A. Froot
Graduate School of Business
Harvard University
Soldiers Field
Boston, MA 02163
Tel: 617/495-6677
Fax: 617/496-7357
E-Mail: kfroot@hbs.edu

Mark S. Seasholes
Hong Kong University of Science & Technology
E-Mail: MARK.SEASHOLES@ust.hk
M2  - featured in NBER digest on 1999-01-01
AB  - 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 and reject that the positive covariance of returns and inflows is associated with an information disadvantage on the part of international investors.
ER  -