Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks over foreign investors, but almost no evidence that domestic institutional investors have such an advantage. Foreign investors trade at worse prices than resident investors for large trades, for smaller stocks, and more so for sales than for purchases. Foreign investors sell to domestic investors before a stock has a large positive abnormal return and buy from domestic investors before a stock has a large negative abnormal return. Using intraday data, the large trades of domestic individual investors have more information than the large trades of foreign investors or of domestic institutional investors.
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
8073.
Length: Date of creation: Jan 2001 Date of revision: Handle: RePEc:nbr:nberwo:8073
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Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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