Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?
Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?
复制标题
国家基金折扣、信息不对称和1994年墨西哥危机：当地居民在国际投资者面前变得悲观吗？
DOI：
10.3386/w5714
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发表时间：
1996
期刊：
影响因子：
--
通讯作者：
S. Schmukler
中科院分区：
文献类型：
--
作者：
J. Frankel;S. Schmukler
有人认为，墨西哥投资者是1994年12月比索危机的领跑者，在国际投资者之前就变得悲观。也许是由于信息不对称，对本国经济的不同预期促使墨西哥投资者成为第一批离开该国的人。本文使用三个墨西哥国家基金的数据来研究不同预期的假设。我们发现，就在贬值之前，墨西哥基金资产净值（主要由墨西哥投资者驱动）的下降速度快于墨西哥国家基金价格（主要由外国投资者驱动）。此外，我们发现，墨西哥的资产净值往往格兰杰原因的国家基金价格。这表明，从某种意义上说，因果关系从墨西哥城投资者群体流向华尔街投资者群体。更一般地说，该文件提出了一个不对称信息的方法，不同于现有的解释国家基金折扣。
It has been suggested that Mexican investors were the front-runners in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper uses data from three Mexican country funds to investigate the hypothesis of divergent expectations. We find that, right before the devaluation, Mexican fund Net Asset Values (mainly driven by Mexican investors) dropped faster than Mexican country fund prices (mainly driven by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community. More generally, the paper proposes an asymmetric information approach that differs from the existing explanations of country fund discounts.