원문정보
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
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
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