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.