Do Domestic Investors Have More Valuable Information About Individual Stocks than Foreign Investors?
Do Domestic Investors Have More Valuable Information About Individual Stocks than Foreign Investors?
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DOI：
10.2139/ssrn.254574
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发表时间：
2000-12
影响因子：
1.2
通讯作者：
Hyuk Choe;Bong-Chan Kho;René M. Stulz
中科院分区：
文献类型：
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作者：
Hyuk Choe;Bong-Chan Kho;René M. Stulz
利用韩国1996年12月至1998年11月的交易数据，我们发现有证据表明，国内个人投资者有一个短暂的私人信息优势，个人股票对外国投资者，但几乎没有证据表明，国内机构投资者有这样的优势。外国投资者的交易价格比居民投资者的交易价格更差，对于大型交易，较小的股票，而且更多的是出售而不是购买。外国投资者在股票出现较大的正异常收益之前向国内投资者卖出，在股票出现较大的负异常收益之前向国内投资者买入。从日内数据来看，国内个人投资者的大额交易比外国投资者或国内机构投资者的大额交易具有更多的信息。
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.