Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018
domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of … rebalancing across fund types, its greater intensity under higher exchange rate volatility, and the exchange rate effect of such … rebalancing. The observed dynamics of equity returns, exchange rates, and fund-level capital flows are compatible with a model of …