Herding by foreign investors and emerging market equity returns: Evidence from Korea

International Review of Economics & Finance - Tập 19 - Trang 698-710 - 2010
Jin Q Jeon1, Clay M. Moffett2
1Dongguk Business School, Dongguk University, 3ga 26, Phil-dong, Jung-gu, Seoul, Korea
2Department of Economics and Finance, University of North Carolina Wilmington, NC, United States

Tài liệu tham khảo

Avery, 1998, Multidimensional uncertainty and herd behavior in financial markets, American Economic Review, 88, 724 Banerjee, 1992, A simple model of herd behavior, American Economic Review, 88, 724 Bae, 2002, Tunneling or value added?, Evidence from merger byKorean business group, Journal of Finance, 57, 2695 Bihkchandani, 1992, A theory of fads, fashion, custom and cultural change as informational cascades, Journal of Political Economy, 100, 992, 10.1086/261849 Cauchie, 2004, The determinants of stock returns in a small open economy, International Review of Economics and Finance, 13, 167, 10.1016/j.iref.2003.07.001 Chen, 2006, Institutional ownership changes and returns around analysts' earnings forecast release event, Evidence from Taiwan, Journal of Banking and Finance, 30, 2471, 10.1016/j.jbankfin.2005.07.016 Choe, H., B. Kho, & R. Stulz, 2001, Do domestic investors have more valuable information about individual stocks than foreign investors?, NBER working paper #8073. Dahlquist, 2001, Direct foreign ownership, institutional investors, and firm characteristics, Journal of Financial Economics, 59, 413, 10.1016/S0304-405X(00)00092-1 Demsetz, 1983, The structure of ownership and the theory of the firm, Journal of Law and Economics, 26, 375, 10.1086/467041 Demsetz, 1985, The structure of corporate ownership, Causes and consequences, Journal of Political Economy, 93, 1155, 10.1086/261354 Demsetz, 2001, Ownership structure and corporate performance, Journal of Corporate Finance, 7, 209, 10.1016/S0929-1199(01)00020-7 Dennis, 2002, Who blinks in volatile markets, individuals or institutions, Journal of Finance, 57, 1923, 10.1111/0022-1082.00484 Desai, 2008, Capital structure with risky foreign investment, Journal of Financial Economics, 88, 534, 10.1016/j.jfineco.2007.05.002 Dvorak, 2005, Do domestic investors have an informational advantage?, Evidence from Indonesia, Journal of Finance, 60, 817 Falkenstein, 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance, 51, 111, 10.2307/2329304 Froot, 1992, Herd on the street: Informational inefficiencies in a market with short-term speculations, Journal of Finance, 47, 1461, 10.2307/2328947 Gompers, 2001, Institutional investors and equity prices, Quarterly Journal of Economics, 116, 229, 10.1162/003355301556392 Grinblatt, 2000, The investment behavior and performance of various investor-types: A study of Finland's unique data set, 2000, Journal of Financial Economics, 55, 43, 10.1016/S0304-405X(99)00044-6 Hau, 2006, Exchange rate, equity prices, and capital flows, Review of Financial Studies, 19, 273, 10.1093/rfs/hhj008 Hirshleifer, 1994, Security analysis and trading patterns when some investors receive information before others, Journal of Finance, 49, 1665, 10.2307/2329267 Joh, 2003, Corporate governance and firm profitability: Evidence from Korea before the economic crisis, Journal of Financial Economics, 68, 287, 10.1016/S0304-405X(03)00068-0 Kang, 1997, Why is there a home bias?, An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics, 46, 3 Khanna, T. & K.G. Palepu, 1999, Emerging market business groups, foreign investors, and corporate governance, NBER working paper 6955. Kim, 2005, Institutional herding, business groups, and economic regimes: Evidence from Japan, Journal of Business, 78, 213, 10.1086/426524 Lakonishok, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics, 32, 23, 10.1016/0304-405X(92)90023-Q Lin, 2006, Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience, International Review of Economics and Finance, 15, 364, 10.1016/j.iref.2005.01.003 Nofsinger, 1999, Herding and feedback trading by institutional and individual investors, Journal of Finance, 54, 2263, 10.1111/0022-1082.00188 Pan, 2007, Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets, International Review of Economics and Finance, 16, 503, 10.1016/j.iref.2005.09.003 Sharfstein, 1990, Herd behavior and investment, American Economic Review, 80, 465 Sias, 2003, Institutional herding, Review of Financial Studies, 17, 165, 10.1093/rfs/hhg035 Welch, 1992, Sequential sales, Learning, and Cascades, Journal of Finance, 47, 695, 10.1111/j.1540-6261.1992.tb04406.x Wermers, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance, 54, 581, 10.1111/0022-1082.00118