Informed foreign ownership and stock prices
| Rt+1 | rt+2 | rt+3 | rt+4 | |
|---|---|---|---|---|
| Panel A. Full sample | ||||
| AFIt | 0.006*** | 0.005*** | 0.003** | −0.001 |
| (3.13) | (3.12) | (2.42) | (−0.62) | |
| MTBVt | 0.083*** | 0.020 | −0.056** | −0.087*** |
| (3.07) | (0.75) | (−2.34) | (−3.56) | |
| lnMVt | 0.079*** | −0.062*** | −0.191*** | −0.294*** |
| (2.65) | (−2.68) | (−7.88) | (−11.05) | |
| Amihudt | −2.397*** | −2.356*** | −1.850*** | −1.090 |
| (−3.87) | (−3.78) | (−2.86) | (−1.55) | |
| ln_salet | 0.038*** | 0.049*** | 0.061*** | 0.057*** |
| (3.81) | (4.78) | (6.36) | (5.98) | |
| DPSt | −0.106*** | −0.085*** | −0.051*** | −0.024* |
| (−8.53) | (−6.95) | (−4.04) | (−1.91) | |
| at | −1.698*** | 0.467 | 1.885*** | 3.035*** |
| (−4.09) | (1.38) | (5.82) | (8.65) | |
| Time and firm FE | yes | yes | yes | yes |
| N | 13,161 | 12,887 | 12,607 | 12,122 |
| R2 | 0.432 | 0.432 | 0.473 | 0.533 |
| Panel B. Non-financial-firm sample | ||||
| AFIt | 0.005*** | 0.004*** | 0.002* | −0.002 |
| (2.72) | (2.61) | (1.73) | (−1.12) | |
| Controls | yes | yes | yes | yes |
| Time and firm FE | yes | yes | yes | yes |
| N | 12,607 | 12,338 | 12,063 | 11,602 |
| R2 | 0.434 | 0.436 | 0.475 | 0.533 |
| R | r | r | r | |
|---|---|---|---|---|
| AFI | 0.006*** | 0.005*** | 0.003** | −0.001 |
| (3.13) | (3.12) | (2.42) | (−0.62) | |
| MTBV | 0.083*** | 0.020 | −0.056** | −0.087*** |
| (3.07) | (0.75) | (−2.34) | (−3.56) | |
| lnMV | 0.079*** | −0.062*** | −0.191*** | −0.294*** |
| (2.65) | (−2.68) | (−7.88) | (−11.05) | |
| Amihud | −2.397*** | −2.356*** | −1.850*** | −1.090 |
| (−3.87) | (−3.78) | (−2.86) | (−1.55) | |
| ln_sale | 0.038*** | 0.049*** | 0.061*** | 0.057*** |
| (3.81) | (4.78) | (6.36) | (5.98) | |
| DPS | −0.106*** | −0.085*** | −0.051*** | −0.024* |
| (−8.53) | (−6.95) | (−4.04) | (−1.91) | |
| −1.698*** | 0.467 | 1.885*** | 3.035*** | |
| (−4.09) | (1.38) | (5.82) | (8.65) | |
| Time and firm FE | yes | yes | yes | yes |
| 13,161 | 12,887 | 12,607 | 12,122 | |
| 0.432 | 0.432 | 0.473 | 0.533 | |
| AFI | 0.005*** | 0.004*** | 0.002* | −0.002 |
| (2.72) | (2.61) | (1.73) | (−1.12) | |
| Controls | yes | yes | yes | yes |
| Time and firm FE | yes | yes | yes | yes |
| 12,607 | 12,338 | 12,063 | 11,602 | |
| 0.434 | 0.436 | 0.475 | 0.533 | |
Note(s): This table reports the coefficients for Equation (4). R is the average daily stock returns. lnMV is logarithm of the market value of equity. Ln sale is logarithm of the net sales. The other variables are explained in Section 2. Controls are control variables used in Equation (4). The subscript t indicates the current quarter. Standard errors are clustered at the firm-quarter level. t-statistics in the parentheses, *, ** and *** indicate statistical significance at the 10, 5 and 1% levels, respectively
Source(s): Authors' own work