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The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market

Author

Listed:
  • Säfvenblad, Patrik

    (Stockholm School of Economics)

Abstract

This paper uses a unique dataset on daily capital ows to the Swedish bond market to analyse the relative information endowment of domestic and foreign investors. Using the standard framework of a noisy rational expectations equilibrium, it is concluded that foreign investors are on average better informed than domestic investors about the future value of sek denominated bonds. The better information of foreign investors is shown to be related to both pure Swedish factors as well as international factors.

Suggested Citation

  • Säfvenblad, Patrik, 1999. "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," Working Paper Series 86, Sveriges Riksbank (Central Bank of Sweden).
    • Handle: RePEc:hhs:rbnkwp:0086
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    File URL: http://www.riksbank.com/upload/2483/WP_86.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Bond prices; capital flows; foreign investors; informed investors; intrest rate determination;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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