원문정보
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
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
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