Earticle

초록

영어

This paper examines whether foreign investors are well-informed about domestic stock market by investigating their factor exposures in the market. While lacking firm-specific private information necessary for stock picking, foreigner might be able to understand what factors are priced and construct an informed portfolio accordingly. Furthermore, they might be capable of dynamically— and correctly—adjusting their factor exposures. Korea makes a good setting for this investigation, since foreign ownership data are readily available for a large number of stocks over a long timeperiod, at very high frequencies. An added feature of the Korean market is that no restrictions are imposed on foreigners owning domestic stocks since the 1997-1998 Asian Financial Crisis. For the period from January 1999 to August 2013, we find that foreigners are well-informed as a portfolio investor at least in some dimensions. Among others, we find that foreign investors construct and adjust their portfolios in a way that the idiosyncratic volatility-related premium accrues to them.

목차

Abstract
 1. Introduction
 2. Sample and data
 3. Empirical results
  3.1. Factors
  3.2. Foreign ownership-sorted portfolios
  3.3. Factor regressions
  3.4. Foreign ownership spreads
  3.5. Foreign ownership spreads and factor returns
 4. Conclusions
 Appendix
 References
 Table

키워드

저자

• Lingxia Sun [ Korea University Business School, Seoul, Korea ]
• Dong Wook Lee [ Korea University Business School, Seoul, Korea ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330