Earticle

초록

영어

It is often argued that foreign investors in a domestic market have an extrapolative expectation because of their informational disadvantages. More precisely, the claim is that foreign investors, absent other sources of information, revise their expectation about the future price of a domestic stock more in line with its current price change. In this paper, we analytically show that a temporary component in stock price makes it possible that better informed or long-term investors are more extrapolative and that their greater response to a given price change is in fact short-lived. We empirically confirm these and other implications of our analysis using the quote data for the futures contracts written on a broad-based Korean stock market index. Specifically, we find that compared with domestic investors, foreign investors show a greater reaction to price changes only at a short measurement interval and that their performance is better than that of domestic investors particularly for a longer investment horizon.

목차

Abstract
 1. Introduction
 2. Hypothesis development
  2.1. A simple approach to an extrapolative expectation
  2.2. Measuring expected future spot price via quotes for futures contract
  2.3. Hypotheses
 3. Sample and data
 4. Empirical results
  4.1. Summary statistics
  4.2. Regression of log changes in futures quotes on log changes in spot price – Tests of H1 and
  4.3. Robustness checks for tests of H1 and H2
  4.4. Serial correlation of intraday quote changes – Test of H3
  4.5. Performance for various holding periods – Test of H4
 5. Conclusions
 References
 Table

키워드

저자

• Hyung Cheol Kang [ Respectively, the University of Seoul ]
• Dong Wook Lee [ Korea University Business School ]
• Eun Jung Lee [ Hanyang University ]
• Kyung Suh Park [ Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330