Do Foreign Institutional Investors Improve Price Efficiency?
利用公司层面国际数据，研究发现外国机构投资者持股增加能提升股票价格信息含量，尤其在发达经济体中，这源于外国投资者带来的新信息和对国内散户的替代，并提高了市场流动性、降低了股权成本。
Abstract We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using additions to the MSCI index and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in and displacement of less-informed domestic retail investors. Finally, we show that foreign ownership, particularly from active investors, increases market liquidity, reduces firms’ cost of equity, and increases firms’ real investment growth.