Foreign and Local Institutional Ownership and the Speed of Price Adjustment
利用韩国股市数据，研究外国和本地机构持股比例高低如何影响股价对新信息的调整速度，发现高持股股票回报领先低持股股票。
Abstract: This paper examines the relation between the speed of price adjustment and stock ownership by foreign and local institutional investors using data from the Korean stock market. We show that returns of stocks with high foreign institutional ownership lead returns of stocks with low foreign institutional ownership, especially after foreign ownership restriction is lifted. Likewise, returns of stocks with high local institutional ownership lead returns of stocks with low local institutional ownership. These results support the idea that foreign institutional (local institutional) investors have faster access to or processing power of new information than local institutional (local individual) investors.