Do domestic investors have an edge? The trading experience of foreign investors in Korea

• 成果类型: Article
• 署名作者: Choe, H; Kho, BC; Stulz, RM
• 署名单位: University System of Ohio; Ohio State University; Seoul National University (SNU); National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi028
• 发表日期: 2005
• 页码: 795
• 关键词: asset prices; INVESTMENT; FLOWS; performance; INFORMATION; BEHAVIOR

摘要

We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks. Using Korean data, we show that foreign money managers pay more than domestic money managers when they buy and receive less when they sell for medium and large trades. The sample average daily trade-weighted disadvantage of foreign money managers is 21 basis points for purchases and 16 basis points for sales. There is also some evidence that domestic individual investors have an edge over foreign investors. The explanation for these results is that prices move more against foreign investors than against domestic investors before trades.