Foreign investor trading behavior has evolved

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10395424" target="_blank" >RIV/00216208:11230/19:10395424 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=VY5KyknU2W" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=VY5KyknU2W</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.mulfin.2019.04.005" target="_blank" >10.1016/j.mulfin.2019.04.005</a>

Result language
angličtina
Original language name
Foreign investor trading behavior has evolved
Original language description
Foreign (equity portfolio) investors have been characterized as return chasers in both empirical and theoretical literature. Using 1996-1998 investor trading data from Korea, Choe et al. (2005) documented that foreign investors trade at disadvantaged prices, because they trade after prices have moved against them. Using a 2004-2015 sample of the Korean data, we show that these established facts have changed: Foreigners do not any longer trade after prices have moved against them and are no longer disadvantaged; they trade at more favorable prices compared with domestic institutions. We document an essentially-monotonic evolution of foreign investor trading behavior over time, from return chasing toward well-timed negative feedback trading, which parallels the improvement in their trading prices. Using marketwide-level foreign investor trading data available from around the world, we show that foreigners' shift away from positive feedback trading is a pervasive phenomenon. These findings imply a major empirical update on foreign investor trading behavior.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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