Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets
-
- Yafeng Qin
- School of Economics and Finance (Albany) Massey University Auckland New Zealand
-
- Min Bai
- Finance Department Auckland University of Technology Auckland New Zealand
この論文をさがす
説明
<jats:title>Abstract</jats:title><jats:p>This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non‐investible stocks. The difference in momentum effects between stocks with different levels of investibility cannot be fully explained by world market risk, size, turnover, or country‐specific factors. Further tests show that fully investible stocks have no post‐earnings‐announcement drift (<jats:italic><jats:styled-content style="fixed-case">PEAD</jats:styled-content></jats:italic>), and their short‐term momentum reverses over a longer horizon. These results show that the stronger momentum of highly investible stocks does not appear to be driven by foreign investors' underreaction to firm‐specific information, but is more likely to be generated by their positive feedback trading.</jats:p>
収録刊行物
-
- International Review of Finance
-
International Review of Finance 14 (2), 237-261, 2013-12-09
Wiley