Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2015
international trade in equity that encompasses complete and incomplete asset market scenarios. By separating asset prices and … net foreign equity holdings. First-order excess returns are unanticipated and i.i.d. in our model, but capital gains and … losses on equity positions feature persistent, anticipated dynamics in response to productivity shocks. The separation of …