Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea
AbstractWe 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. Copyright 2005, Oxford University Press.
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Bibliographic InfoArticle provided by Society for Financial Studies in its journal The Review of Financial Studies.
Volume (Year): 18 (2005)
Issue (Month): 3 ()
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Other versions of this item:
- Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 2004. "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," Working Paper Series 2004-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2004. "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," NBER Working Papers 10502, National Bureau of Economic Research, Inc.
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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