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제목 Does information asymmetry really explain the extrapolative expectation of foreign investors?(강형철,이동욱,이은경,박경서)
작성자 관리자 조회수 4772 작성일 2009.06.09
because of their informational disadvantages. More precisely, the claim is that foreign investors, absent other sources of information, revise their expectation about the future price of a domestic stock more in line with its current price change. In this paper, we analytically show that a temporary component in stock price makes it possible that better informed or long-term investors are more extrapolative and that their greater response to a given price change is in fact short-lived. We empirically confirm these and other implications of our analysis using the quote data for the futures contracts written on a broad-based Korean stock market index. Specifically, we find that compared with domestic investors, foreign investors show a greater reaction to price changes only at a short measurement interval and that their performance is better than that of domestic investors particularly for a longer investment horizon.
첨부파일 첨부파일 [강형철,이동욱,이은정,박경서].pdf

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