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Medientyp:
E-Artikel
Titel:
Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets
Beteiligte:
Qin, Yafeng;
Bai, Min
Erschienen:
Wiley, 2014
Erschienen in:
International Review of Finance, 14 (2014) 2, Seite 237-261
Sprache:
Englisch
DOI:
10.1111/irfi.12019
ISSN:
1369-412X;
1468-2443
Entstehung:
Anmerkungen:
Beschreibung:
AbstractThis study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non‐investible stocks. The difference in momentum effects between stocks with different levels of investibility cannot be fully explained by world market risk, size, turnover, or country‐specific factors. Further tests show that fully investible stocks have no post‐earnings‐announcement drift (PEAD), and their short‐term momentum reverses over a longer horizon. These results show that the stronger momentum of highly investible stocks does not appear to be driven by foreign investors' underreaction to firm‐specific information, but is more likely to be generated by their positive feedback trading.