He, Wen; Shen, Jianfeng - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 32-48
This study investigates the impact of foreign investors on the informational efficiency of stock prices in local markets. Using a large sample of Japanese firms over the period 1976 to 2008, we find that prices deviate less from a random walk for stocks with a large change in foreign ownership....