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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 240:
The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market

Patrik Säfvenblad ()

Abstract: This paper uses daily capital flows 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 shown that foreign investors are, on average, better informed than domestic investors. The better information of foreign investors is related to pan-European factors, including ITL bond yields, future order flow, as well as pure Swedish factors.

Keywords: bond prices; capital flows; foreign investors; informed investors; interest rate determination; (follow links to similar papers)

JEL-Codes: E43; G12; G14; G15; (follow links to similar papers)

11 pages, May 31, 1998

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