TY  - JOUR
AU  - Choe,Hyuk
AU  - Kho,Bong-Chan
AU  - Stulz,Rene M.
TI  - Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8073
PY  - 2001
Y2  - January 2001
UR  - http://www.nber.org/papers/w8073
L1  - http://www.nber.org/papers/w8073.pdf
N1  - Author contact info:
Rene M. Stulz
The Ohio State University
Fisher College of Business
806A Fisher Hall
Columbus, OH 43210-1144
Tel: 614/292-1970
Fax: 614/292-2359
E-Mail: stulz_1@cob.osu.edu
AB  - Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks over foreign investors, but almost no evidence that domestic institutional investors have such an advantage. Foreign investors trade at worse prices than resident investors for large trades, for smaller stocks, and more so for sales than for purchases. Foreign investors sell to domestic investors before a stock has a large positive abnormal return and buy from domestic investors before a stock has a large negative abnormal return. Using intraday data, the large trades of domestic individual investors have more information than the large trades of foreign investors or of domestic institutional investors.
ER  -