Information, sophistication, and foreign versus domestic investors' performance

Li Wen Chen, Shane A. Johnson, Ji Chai Lin, Yu Jane Liu

研究成果: 雜誌貢獻期刊論文同行評審

50 引文 斯高帕斯(Scopus)

摘要

Using an intraday transaction dataset with trader identity, we study foreign and domestic investors' trading activities and investment performance ahead of open-ending events of Taiwanese closed-end funds. Simply buying the funds at a discount and holding until open-ending generates large abnormal returns. All information required to execute this strategy is made public, so the events set up natural experiments to examine how investors trade, holding constant access to information. Foreign investors are net buyers ahead of the open-endings, more than doubling their positions and earning large abnormal returns. Domestic investors are net sellers while the discounts are still large, and forego large abnormal returns. The results suggest that investor sophistication in interpreting the same information is potentially an important determinant of investment performance differences across foreign and domestic investors.

原文???core.languages.en_GB???
頁(從 - 到)1636-1651
頁數16
期刊Journal of Banking and Finance
33
發行號9
DOIs
出版狀態已出版 - 9月 2009

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