Large foreign ownership and stock price informativeness around the world

Wen He, Donghui Li, Jianfeng Shen () and Bohui Zhang ()

Journal of International Money and Finance, 2013, vol. 36, issue C, 211-230

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.

Keywords: International financial market; Large foreign ownership (LFO); Stock price informativeness; Probability of informed trading (PIN); Price non-synchronicity (NONSYNC) (search for similar items in EconPapers)
JEL-codes: G15 O16 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:36:y:2013:i:c:p:211-230

DOI: 10.1016/j.jimonfin.2013.04.002

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