Does foreign investors trade predict stock return? evidence from taiwan

Chia Jui Lai, Kuo Ren Lou, Cheng Yi Shiu

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

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.

原文???core.languages.en_GB???
頁(從 - 到)477-494
頁數18
期刊International Journal of Information and Management Sciences
19
發行號3
出版狀態已出版 - 9月 2008

指紋

深入研究「Does foreign investors trade predict stock return? evidence from taiwan」主題。共同形成了獨特的指紋。

引用此