It is frequently argued that foreign investors have extrapolative expectations due to their informational disadvantages. That is, absent other sources of information, foreigners revise their expectations on the future price of a domestic stock more in line with its current price change than do...

This paper proposes an investor heterogeneity approach to the different domestic stock holdings between domestic and foreign investors. Specifically, we hypothesize that domestic and foreign investors evaluate domestic stocks via different models and thus arrive at different valuations for them;...

Using a unique intraday trade and quote data set of the Korea Stock Exchange which includes customized symbols identifying individual accounts for January 2006 to December 2006, we investigate the overnight inventory levels of day-traders to determine the factors that affect their overnight...

Prior work in emerging markets provides evidence that better corporate governance predicts higher market value, but very little on the specific channels through which governance increases value. We provide evidence, from a natural experiment in Korea, that reduced tunneling can be an important...

We examine how investors strategically spoof the stock market by placing orders with little chance of being executed, but which mislead other traders into thinking there is an imbalance in the order book. Using the complete intraday order and trade data of the Korea Exchange (KRX) in a custom...