Earticle

초록

영어

This paper proposes and tests a symmetric information-based explanation for different stock holdings between domestic and foreign investors. Specifically, we extend Pastor (2000) and Li (2004) to the within-country stock selection problem by positing that domestic stocks are evaluated by investors through their own home-country market portfolio. This difference in “model” allows locals and foreigners to interpret common information differently and build different opinions on domestic stocks, leading them to hold different domestic stock portfolios. Using data from Korea, we find strong evidence for this hypothesis. Additionally, we find that the differential interpretation of common information makes foreigners avoid some of the domestic stocks more than it increases the demand of foreign investors for other domestic stocks.

목차

Abstract
 1. Introduction
 2. Background and testing hypothesis
  2.1. Literature review
  2.2. Hypothesis - Idea
  2.3. Hypothesis – Prediction
 3. Sample and data
 4. Empirical results
  4.1. Summary statistics
  4.2. Panel regressions – Main results
  4.3. Robustness
  4.4. Analysis of asymmetry in positive and negative alpha difference
  4.5. Analysis of stock holdings of domestic institutions and individuals
 5. Conclusions
 References
 Table

키워드

저자

• Hyung-Cheol Kang [ Respectively, Research Fellow, Korea Securities Research Institute ]
• Dong Wook Lee [ Assistant Professor of Finance, Korea University Business School ]
• Kyung-Suh Park [ Professor of Finance, Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330