Loading Events

« All Events

  • This event has passed.

Azi Ben-Rephael – Rutgers

6 December 2019 @ 3:00 pm - 4:30 pm

Foreign Sentiment

We construct a direct measure of U.S. based foreign sentiment using flow shifts between U.S. and international mutual funds. Foreign sentiment predicts return reversals in international markets, while local sentiments predict reversals in local markets. Exploring this segmentation, we find that foreign sentiment predictability is driven by overreaction to non-U.S. local negative news, which increases with the foreignness of a country to U.S. investors. In contrast, non-U.S. local sentiment predictability is not driven by overreaction to the same news. A complementary analysis of the U.S. provides consistent results, suggesting that the U.S. is also not immune to foreign sentiment from international markets. Our findings shed light on a new behavioral explanation for how foreign sentiment is generated, in the spirit of Dumas et al. (2017) “foreign sentiment” concept.

Details

Date:
6 December 2019
Time:
3:00 pm - 4:30 pm
Event Categories:
,

Venue

McIntire, RRH 260