Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China
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发布日期:2022年06月06日 上次修订日期:2022年06月06日

摘要

Using a proprietary dataset from 2016 to 2019, we find that order flows from foreign investors, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns in the Chinese market. Most surprisingly, foreign investors possess the ability to process local firm-level public news, whereas their informational advantages regarding global market-level information are relatively muted. Further, the predictive power of foreign investors is particularly strong on large price movement days when the implications of firm-level information is likely most pronounced. Finally, regulatory reforms that generally relax investment access requirements further improve foreign investors’ predictive power

Christian T. Lundblad ; Donghui Shi ; Xiaoyan Zhang ; Zijian Zhang ; Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China (2022年06月06日)http://www.cfrn.com.cn//lw/zbsc/tzjjlw/3c8fd7a692e342269c977e7c057f7560.htm

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