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1.
Using transaction data from Egypt, we examined the controversy over which investor—domestic or foreign—has superior trading performance in emerging markets. We account for informational and behavioral differences across investors by classifying them by origin and type and comparing their performance in trade execution versus profitability. Domestic institutions execute trades at the best prices with the greatest advantage against foreign institutions. This advantage is reduced when foreign institutions focus on large firms and trades. Profitability analysis revealed, however, that domestic investors accrue significant losses against foreign investors, suggesting that trading better does not necessarily translate into making more money. 相似文献
2.
This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign investors. We study 76 firms that issue both A-shares (for domestic investors) and B-shares (for foreign investors) and compare the price discovery role of the two segmented markets in China. Before Feb 19, 2001, the A-share market led the B-share market in price discovery, as the signed volume and quote revision of the A-share market had strong predictive ability for B-share quote returns, but not vice versa. After Feb 19, 2001, because some domestic investors were allowed to invest in the B-share market, we find evidence for a reverse causality from the B-share to the A-share market. Nevertheless, the [Hasbrouck (1995). One security, many markets: determining the contributions to price discovery, Journal of Finance 50, 1175–1199.] information share analysis reveals that A-shares continue to dominate the price discovery process. 相似文献
3.
This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect. 相似文献
4.
This study uses a unique dataset from a large anonymous brokerage firm to examine the herding behavior of Chinese individual investors. The empirical evidence reveals that females are more inclined to follow the behavior of ‘same-sex’ investors. Market conditions and stock characteristics affect females and males similarly in that individual investors herd more intensively in the bull market, on stocks with better liquidity and larger market capitalization. We find female investors generally yield lower returns than males when they herd intensively, and this finding is more pronounced during a bull-market period. Outcomes from individual-level herding measurements suggest that portfolio turnover drives the difference in herding between genders. 相似文献
5.
Wolfgang Drobetz Sadok El Ghoul Zhengwei Fu Omrane Guedhami 《European Financial Management》2024,30(2):727-769
Using an international data set that quantifies corporate environmental costs, we analyze the influence of institutional investor ownership, particularly investment horizon and investor origin, on the monetized environmental impact generated by their investee firms. Institutional investor ownership is negatively related to corporate environmental costs. This effect is driven by long-term foreign institutional investors, especially investors from advanced economies. Corporate environmental costs are negatively correlated with firm valuation and positively correlated with the cost of equity. Since corporate environmental costs are not reflected in environmental, social and governance ratings, our results shed new light on the role of institutional investors in shaping corporate environmental impact. 相似文献
6.
《The British Accounting Review》2022,54(6):101113
This study uses a unique dataset from a large anonymous brokerage firm to examine the net investment of individual investors during a bear market. The study's empirical evidence reveals that individual investors provide liquidity by acting as net buyers. Particularly, male and younger investors tend to have a higher buying intensity than the others during the market downturn. Besides, better performances when the market crashed encourage investors to be overconfident, thus exhibiting self-attribution bias since we do not find similar results in the bull-market subsample. Results from the stock-level analysis imply that investors tend to buy stocks with worse short-term past performance, higher liquidity, and larger market capitalization. Our findings on the individual investor trading behaviour cannot be explained by either a superior stock-picking ability or a higher tendency to gamble during the market downswing. 相似文献
7.
Jian Yang 《The Financial Review》2003,38(4):591-609
This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data‐determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B‐share market are better informed than Chinese domestic investors in two A‐share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets. 相似文献
8.
Christof Beuselinck Belen Blanco Juan Manuel García Lara 《Journal of Business Finance & Accounting》2017,44(5-6):558-592
We investigate the role of foreign shareholders in improving the quality of accounting information provided by firms domiciled in countries with low de facto institutional quality. Using a sample of firms from four South European countries (Greece, Italy, Portugal and Spain) for which we observe detailed ownership evolutions over the period 2002–2007, we find that increases in foreign ownership lead to increases in financial reporting quality but only if the foreign shareholders are domiciled in countries with strong investor protection mechanisms. Further, we find that the improvement in financial reporting quality is more pronounced in the case of foreign institutional investors. Finally, our results hold before and after the introduction of the International Financial Reporting Standards (IFRS) in 2005. 相似文献
9.
In this study, we take advantage of the gradual lifting of the short-selling ban in China and find that firms affected by the lifting of the ban experience a lower cost of equity. In addition, the affected firms also incur less earnings management, higher market liquidity and higher investment efficiency. Further evidence shows that firms’ cost of equity increases after their stocks are no longer eligible for short selling. Our inferences are robust to alternative measures of cost of equity, and to using a propensity score-matched sample. Our study contributes to the literature by providing evidence that short sellers play a monitoring role in the Chinese stock markets and sheds light on the benefits of short selling in emerging markets. 相似文献
10.
次贷危机爆发以来,公司高管的巨额薪酬成为众矢之的。随着我国机构投资者的迅速崛起,市场对机构投资者改进上市公司治理寄予了厚望。我国的机构投资者能否对上市公司高管的薪酬激励和股权激励产生积极影响是本文关注的重点。本文选取2004~2008年度的上市公司作为样本,运用线性概率模型、Probit、Logit、Tobit以及OLS等回归方法对机构持股和上市公司高管薪酬激励,特别是股权激励的关系进行实证检验。实证结果表明中国的机构投资者并未有效限制高管股权激励和固定薪酬的增长,对于薪酬设计的改善作用也有待加强,机构股东积极主义在中国还有待加强。 相似文献