教師資料查詢 | 類別: 期刊論文 | 教師: 婁國仁 LOU, KUO-REN (瀏覽個人網頁)

標題:Does Foreign Investors Trade Predict Stock Return ? Evidence from Taiwan
學年97
學期1
出版(發表)日期2008/09/01
作品名稱Does Foreign Investors Trade Predict Stock Return ? Evidence from Taiwan
作品名稱(其他語言)
著者Lai, Chia-jui; 婁國仁; Lou, Kuo-ren; Shiu, Cheng-yi
單位淡江大學經營決策學系
出版者淡江大學
著錄名稱、卷期、頁數International Journal of Information and Management Sciences 19(3), pp.477-494
摘要This paper analyzes the trade of foreign investors in Taiwan stock market by examining the firm level daily data. Foreign investors tend to buy stocks of past winners and to sell stocks of losers, implying that foreign investors are momentum traders. For large size or low book-to-market stocks, we find the trade of foreign investors can positively predict future returns. We interpret these results as foreign investors may have more information advantage or have less information disadvantage than local investors have in those stocks.
關鍵字Foreign Investors; Information Advantage; Characteristics
語言英文
ISSN1017-1819
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