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Session 2 : 투자론 II

Idiosyncratic risk and foreign investors : Empirical evidence from the Korean stock market

원문정보

초록

영어

This paper examines the effect of foreign ownership on idiosyncratic risk of individual stock in Korean stock market. We find that foreign ownership is negatively related to idiosyncratic risk. This result is robust to multiple idiosyncratic risk measures and regression methods. We find two underlying channels through which foreign ownership reduces the idiosyncratic risk: through influencing price informativeness and enhancing monitoring effect. Our results support that foreign investors reduce the idiosyncratic risk by enhancing monitoring, while the informativeness channel has weaker explanatory power.

목차

Abstract
1. Introduction
2. Hypothesis development
2.1 Research Background
2.2 Testable hypothesis
3. Data and variable construction
3.1 Data and idiosyncratic risk
3.2 Control variable
3.3 Summary statistics and idiosyncratic risk
4. Empirical analysis
4.1 Effect of foreign ownership on idiosyncratic risk
4.2 Reverse causality
5. Possible explanations
5.1 Information based explanation
5.2 Monitoring based explanation
6. Portfolio implication
7. Robustness check
8. Conclusion
Reference

저자정보

  • Junho Hwang National Pension Service, National Pension Research Institute.

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