This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We present a multi-asset rational expectations equilibrium model in which agents have information about asset-specific components of payoff and/or information about components that affect many...

We derive a proxy for expected returns from a noisy multi-asset rational expectations equilibrium model. a goal/contribution of this paper is to use the same proxy for the theorical, numerical, and empirical analyses.

This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to...