Large foreign ownership and stock price informativeness around the world

He, Wen, Li, Donghui, Shen, Jianfeng and Zhang, Bohui (2013) Large foreign ownership and stock price informativeness around the world. Journal of International Money and Finance, 36 211-230. doi:10.1016/j.jimonfin.2013.04.002

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Author He, Wen
Li, Donghui
Shen, Jianfeng
Zhang, Bohui
Title Large foreign ownership and stock price informativeness around the world
Journal name Journal of International Money and Finance   Check publisher's open access policy
ISSN 0261-5606
Publication date 2013-09-01
Year available 2013
Sub-type Article (original research)
DOI 10.1016/j.jimonfin.2013.04.002
Open Access Status Not yet assessed
Volume 36
Start page 211
End page 230
Total pages 20
Place of publication Kidlington, Oxford, United Kingdom
Publisher Pergamon Press
Language eng
Formatted abstract
This study investigates the relation between large foreign ownership (LFO) and the informativeness of stock prices in 40 markets. We show that LFO is positively related to price informativeness, measured by probability of informed trading (PIN) and price non-synchronicity (NONSYNC) which reflects firm-specific variations in stock returns. We also find a stronger association between stock returns and future earnings innovations for firms with higher LFO. Further analysis reveals that the effect of LFO on price informativeness is stronger in developed economies and markets with strong investor protection and a transparent information environment.
Keyword International financial market
Large foreign ownership (LFO)
Price non-synchronicity (NONSYNC)
Probability of informed trading (PIN)
Stock price informativeness
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 9 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 10 times in Scopus Article | Citations
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Created: Tue, 28 Feb 2017, 14:30:41 EST by Wen He on behalf of Learning and Research Services (UQ Library)