Do Foreign Institutional Investors Improve Price Efficiency?

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Sundaresan, Savitar; Wang, Tianyu
• 署名单位: Imperial College London; Center for Economic & Policy Research (CEPR); Tsinghua University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa076
• 发表日期: 2021
• 页码: 1317
• 关键词: STOCK-MARKET LIBERALIZATION; EARNINGS-ANNOUNCEMENT DRIFT; financial-markets; INFORMATION; INVESTMENT; GROWTH; returns; IMPACT; FLOWS

摘要

We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using additions to the MSCI index and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in and displacement of less-informed domestic retail investors. Finally, we show that foreign ownership, particularly from active investors, increases market liquidity, reduces firms' cost of equity, and increases firms' real investment growth.