Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/35115
Title: Foreign institutional investors, information advantage, and equity returns : evidence from China
Authors: Zhang, Bo
Advisors: Tong, Wilson (AF)
Wei, Steven (AF)
Kang, Byoung Uk (AF)
Keywords: Stock ownership -- China.
Investments, Foreign -- China.
Stocks -- Prices -- China.
Issue Date: 2015
Publisher: The Hong Kong Polytechnic University
Abstract: Using foreign and domestic institutional ownership data in Chinese A-share markets, we document a significantly positive relation between the level of foreign institutional ownership and future stock returns after controlling for several explanatory variables of the cross-sectional stock returns, including firm size, book-to-market ratio and past returns. More importantly, change in foreign institutional ownership forecasts future stock returns. This return predictability is stronger for small and young firms with greater information asymmetries and does not reverse in the long run. By contrast, neither the level of nor change in domestic institutional ownership predicts future stock returns. Overall, our results are consistent with the perspective that foreign institutional investors in China are better informed because of their superior information-processing capability.
Description: PolyU Library Call No.: [THS] LG51 .H577M AF 2015 Zhang
vii, 69 leaves ;30 cm
URI: http://hdl.handle.net/10397/35115
Rights: All rights reserved.
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