외국인의 투자성과와 주식시장 영향력 분석

초록

Conflicting research results have existed on foreign investors’ performance after the capital market liberalization. While some researches support for foreigners’ superiority of information, others argue that domestic investors have better information on the domestic market. We have conducted comprehensive analyses using annual data from year 1998 to 2010 to provide a long-term perspective on the issue. The main results of this study are as follows. First, compared to individual and institutional investors, foreign investors have realized superior performance in their investment gains. Investment performance of foreign investors has been prominent especially in a period of falling stock prices. Second, using equity risk premium and market excess returns as the dependent variable, we find that the influence of foreign investors has been strengthened in Korean stock market. Third, return difference between foreign and domestic investors has been widened in firms with more foreign ownership. Our results are robust in sub-period analyses. Compared to existing literature, our study provides a long-term and comprehensive perspective to invetors’ performance

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