Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors PDF Download
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| Author | : Hyuk Choe |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 2001 |
| Genre | : Economics |
| ISBN | : |
Download Do Domestic Investors Have More Valuable Information about Individual Stocks Than Foreign Investors? Book in PDF, ePub and Kindle
Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks over foreign investors, but almost no evidence that domestic institutional investors have such an advantage. Foreign investors trade at worse prices than resident investors for large trades, for smaller stocks, and more so for sales than for purchases. Foreign investors sell to domestic investors before a stock has a large positive abnormal return and buy from domestic investors before a stock has a large negative abnormal return. Using intraday data, the large trades of domestic individual investors have more information than the large trades of foreign investors or of domestic institutional investors.
| Author | : Hyuk Choe |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Do Domestic Investors Have More Valuable Information About Individual Stocks than Foreign Investors? Book in PDF, ePub and Kindle
Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks over foreign investors, but almost no evidence that domestic institutional investors have such an advantage. Foreign investors trade at worse prices than resident investors for large trades, for smaller stocks, and more so for sales than for purchases. Foreign investors sell to domestic investors before a stock has a large positive abnormal return and buy from domestic investors before a stock has a large negative abnormal return. Using intraday data, the large trades of domestic individual investors have more information than the large trades of foreign investors or of domestic institutional investors.
| Author | : Hyuk Choe |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Do domestic investors have more valuable information about industrial stocks than foreign investors? Book in PDF, ePub and Kindle
| Author | : Jun-Koo Kang |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 1995 |
| Genre | : Capital market |
| ISBN | : |
Download Why is There a Home Bias? Book in PDF, ePub and Kindle
This paper uses data on foreign stock ownership in Japan from 1975 to 1991 to examine the determinants of the home bias in portfolio holdings. Existing models of international portfolio choice predicting that foreign investors hold national market portfolios or portfolios tilted towards high expected return stocks are inconsistent with the evidence provided in this paper. We document that foreign investors overweight shares of firms in manufacturing industries, large firms, firms with good accounting performance, firms with low unsystematic risk, and firms with low leverage. Controlling for size, there is evidence that small firms that export more have greater foreign ownership. Foreign investors do not perform significantly worse than if they held the Japanese market portfolio, however. After controlling for firm size, there is no evidence that foreign ownership is related to expected returns of shares. We show that a model with size-based informational asymmetries and deadweight costs can yield asset allocations consistent with our evidence.
| Author | : Reena Aggarwal |
| Publisher | : World Bank Publications |
| Total Pages | : 47 |
| Release | : 2003 |
| Genre | : Foreign exchange |
| ISBN | : |
Download Portfolio Preferences of Foreign Institutional Investors Book in PDF, ePub and Kindle
| Author | : Hyung Cheol Kang |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Does the Difference in Valuation Between Domestic and Foreign Investors Help Explain Their Distinct Holdings of Domestic Stocks (formerly, Do Different Interpretations of the Same Information Help Explain the Home Bias). Book in PDF, ePub and Kindle
This paper proposes an investor heterogeneity approach to the different domestic stock holdings between domestic and foreign investors. Specifically, we hypothesize that domestic and foreign investors evaluate domestic stocks via different models and thus arrive at different valuations for them; consequently, the two investor groups are attracted to different sets of domestic stocks. Using panel data from Korea, we find strong support for our hypothesis. More precisely, we find that the foreign ownership of a stock increases with foreigners' valuation for the stock in excess of that of domestic investors. As we control for various firm characteristics known to be correlated with foreign ownership, our results indicate that the valuation difference between domestic and foreign investors can help explain the allocation of domestic stocks between the two groups over and above the existing explanations.
| Author | : Asl? Demirgüç-Kunt |
| Publisher | : World Bank Publications |
| Total Pages | : 73 |
| Release | : 1999 |
| Genre | : Bancos |
| ISBN | : |
Download Bank-based and Market-based Financial Systems Book in PDF, ePub and Kindle
| Author | : Ila Patnaik |
| Publisher | : International Monetary Fund |
| Total Pages | : 31 |
| Release | : 2013-05-22 |
| Genre | : Business & Economics |
| ISBN | : 1484340345 |
Download Foreign Investors Under Stress Book in PDF, ePub and Kindle
Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home country trigger off extreme responses by foreign investors – are foreign investors `fair weather friends'? In this, is there asymmetry between the response of foreign investors to very good versus very bad days? Do foreign investors have a major impact on domestic markets through large inflows or outflows – are they ‘big fish in a small pond’? Do extreme events in world markets induce extreme behavior by foreign investors, thus making them vectors of crisis transmission? We propose a modified event study methodology focused on tail events, which yields evidence on these questions. The results, for India, do not suggest that financial globalization has induced instability on the equity market.
| Author | : Chun-Pin Hsu |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Does Foreign Investment Worsen the Domestic Stock Market During a Financial Crisis? Evidence from Taiwan Book in PDF, ePub and Kindle
Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a risk-based approach to investigate whether the stocks most favored by foreign investors are riskier than those least favored by foreign investors. We distinguished our sample stocks into foreign most-favored and foreign least-favored groups and classified our data periods into a financial crisis period and an aftermath period. We then estimated the 1% VaRs and expected maximum losses through a GARCH - extreme value theory - copula methodology for the foreign most-favored and least-favored groups. The empirical results indicated that the foreign most-favored group had lower 1% VaRs than the foreign least-favored group during both the financial crisis and its aftermath. However, the foreign most favored group had higher expected maximum losses than the foreign least-favored group. Thus, although stocks favored by foreign investors may not be riskier in general, investing in these stocks could still occasion disaster in an extreme event.
| Author | : Vicentiu Covrig |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide Book in PDF, ePub and Kindle
This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their money between domestic and foreign equity markets and what factors determine the distribution of their asset allocations worldwide. We find robust evidence that mutual funds, in aggregate, allocate disproportionately a larger fraction of wealth to domestic than foreign stocks. The results indicate that the stock-market development and familiarity variables exhibit significant, but asymmetric, effects on the domestic bias (domestic investors over-weighting the local markets) and foreign bias (foreign investors under- or over-weighting the overseas markets). When a market is more developed, or is closer in terms of physical distance or common language, this attracts foreign investors to the home country (less foreign bias) and, in turn, fewer domestic investors are found to hold local equities (less home bias). Furthermore, we find that variables such as economic development, capital controls, and withholding taxes also have significant, but smaller, effects on the investment decisions of foreign investors and not of domestic investors.
