earticle

영어

This study tests whether the level of foreign ownership in a firm is inversely related to information asymmetry between firm and market. Since information asymmetry is nor directly observable and is difficult to measure, it is used ERC(Earning Response Coefficient) to measure information asymmetry indirectly. And we investigate trading behavior and investment performance of foreign investors in 100 large-size firms listed on the Korea Stock Exchange. Strong evidence is found that foreign investors employ momentum strategies of buying past winners and selling past losers , while no evidence is found that foreign investors herd on market consensus. Findings show that foreign investors are short-term superior performers.