Foreign investor trading behavior has evolved

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Foreign investor trading behavior has evolved

Popis výsledku v původním jazyce

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&apos; shift away from positive feedback trading is a pervasive phenomenon. These findings imply a major empirical update on foreign investor trading behavior.

Název v anglickém jazyce

Foreign investor trading behavior has evolved

Popis výsledku anglicky

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&apos; shift away from positive feedback trading is a pervasive phenomenon. These findings imply a major empirical update on foreign investor trading behavior.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Multinational Financial Management

ISSN

1042-444X

e-ISSN

—

Svazek periodika

51

Číslo periodika v rámci svazku

September

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

18

Strana od-do

98-115

Kód UT WoS článku

000489606800006

EID výsledku v databázi Scopus

2-s2.0-85068041869