Mutual fund flow-driven trading and the mispricing of cross-listed stocks

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2024-11-23 DOI:10.1016/j.mulfin.2024.100888

David Rakowski , J. David Diltz , Anh Tuan Nguyen

引用次数: 0

Abstract

We explore cross-border divergence in pricing of cross-listed stocks driven by mutual fund flow–driven trading. Drawing on data from the US and forty-four international markets, we find the following: 1) Non-US stock returns are highly correlated with US stock returns and only weakly associated with liquidity-driven US-based mutual fund trading; 2) Approximately 69 % of the variation in non-US stock returns may be attributed to flow-driven trading, controlling for a variety of factors; 3) Stock return divergence is greater for small-cap, narrowly-held, and actively traded stocks; 4) Divergence is greater for stocks cross-listed in Latin American, Caribbean, and Asian-Pacific emerging markets; 5) Divergence is greater for stocks in funds experiencing outflows; and finally 6) Large outflows (i.e., fire sales) have no effect on price divergence across markets.

This draft: October 31, 2024

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共同基金流量驱动交易与交叉上市股票的错误定价

我们探讨了由共同基金流量驱动的交易导致的交叉上市股票定价的跨境分化。利用来自美国和 44 个国际市场的数据，我们发现了以下几点：1）非美股回报率与美股回报率高度相关，而与流动性驱动的美国共同基金交易仅有微弱关联；2）在控制各种因素的情况下，非美股回报率约 69% 的变化可归因于流动性驱动的交易；3) 小盘股、窄幅持股和交易活跃的股票回报率差异更大；4) 在拉丁美洲、加勒比海和亚太新兴市场交叉上市的股票回报率差异更大；5) 资金外流的基金中的股票回报率差异更大；最后，6) 资金大量外流（即 "资金外流"）。e.,本草案：2024 年 10 月 31 日

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.