摘要

This paper examines whether foreign investor heterogeneity plays a role in stock liquidity on a sample of 27,976 firms from 39 countries for the period from 2003 to 2009. Results show that foreign direct ownership is negatively, while foreign portfolio ownership is positively, associated with various measures of stock liquidity. Furthermore, liquidity also reduces more (less) in firms with larger foreign direct investment FDI (foreign portfolio investment, FPI) during the 2008 market downturn. As predicted by finance theory, foreign investors influence stock liquidity through both trading activity and information channels. Our findings also indicate that the presence of FDI investors improves firm valuation and operating performance even at the expense of an increase in the firm’s cost of capital, suggesting that the value-enhancing benefits from FDI investors’ monitoring efforts outweigh the liquidity costs and high adverse selection premium demanded by less informed investors. In contrast, the positive impacts of FPI ownership on firm performance, as previously documented in existing literature, becomes negative and also not robustly significant after controlling for liquidity.

Lilian Ng ; Fei Wu (吴飞) ; Jing Yu ; Bohui Zhang ; Foreign Investor Heterogeneity and Stock Liquidity Around the World (2011年11月30日)http://www.cfrn.com.cn//lw/zbsc/zcdjlw/3738.htm

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