재무연구 제 권 호 (2019년 11월)
Asian Review of Financial Research, Vol., No..
pp.469~504
pp.469~504
Idiosyncratic risk and foreign investors : Empirical evidence from the Korean stock market
Junho Hwang National Pension Service, National Pension Research Institute.
This paper examines the effect of foreign ownership on idiosyncratic risk of individual stock in Korean stock market. We find that foreign ownership is negatively related to idiosyncratic risk. This result is robust to multiple idiosyncratic risk measures and regression methods. We find two underlying channels through which foreign ownership reduces the idiosyncratic risk: through influencing price informativeness and enhancing monitoring effect. Our results support that foreign investors reduce the idiosyncratic risk by enhancing monitoring, while the informativeness channel has weaker explanatory power.
Junho Hwang
This paper examines the effect of foreign ownership on idiosyncratic risk of individual stock in Korean stock market. We find that foreign ownership is negatively related to idiosyncratic risk. This result is robust to multiple idiosyncratic risk measures and regression methods. We find two underlying channels through which foreign ownership reduces the idiosyncratic risk: through influencing price informativeness and enhancing monitoring effect. Our results support that foreign investors reduce the idiosyncratic risk by enhancing monitoring, while the informativeness channel has weaker explanatory power.
