Earticle

초록

영어

This paper proposes and tests a symmetric information-based explanation for different stock holdings between domestic and foreign investors. Building on Pastor (2000) and Li (2004), we posit that domestic and foreign investors interpret common information differently since they use their own home-country market portfolio as benchmark when evaluating the past performance of domestic stocks and adjusting their stock holdings accordingly. We hypothesize that the resulting difference in opinion about domestic stocks contributes to different domestic stock portfolios between the two investor groups. Using the Korean data which help us to rule out competing hypotheses, we find strong evidence for our hypothesis and also show that our results are independent of the trend-chasing behavior of foreign investors. Additionally, we find that the different interpretation of common information causes foreigners to avoid domestic stocks more than it increases the foreign demand for domestic stocks.

목차

Abstract
 1. Introduction
 2. Background and testing hypothesis
  2.1. Literature review and motivation of the differing-interpretation hypothesis
  2.2. The differing-interpretation hypothesis – Setup
  2.3. The differing-interpretation hypothesis – Predictions
 3. Sample and data
 4. Empirical results
  4.1. Alpha estimates and their difference
  4.2. Control variables
  4.3. Panel regressions – Main results
  4.4. Robustness
  4.5. Analysis of asymmetry in positive and negative alpha difference
  4.6. Analysis of stock holdings by domestic institutions and individuals
 5. Conclusions
 References
 Table

키워드

저자

• Hyung Cheol Kang [ Respectively, Assistant Professor of Finance, the University of Seoul ]
• 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