ScholarWorks@숙명여자대학교

초록

This paper examines the announcement effect of foreign investors buying or selling a substantial stake in a company from January 1, 2001, to the end of 2007. We find that when foreign investors buy major blocks, the market responds positively and the absolute value of the cumulative abnormal return is higher for foreign investors having the purpose of participating management. When foreign investors sell major blocks, the market responds negatively, but the magnitude is weaker than buying major blocks. Again, for major block selling, the absolute value of the cumulative abnormal return is higher for foreign investors having the purpose of participating management. When the market can not distinguish an investor’s purpose, the effect of buying or selling a major block is minimal. Using cumulative average abnormal returns as a dependent variable, we run linear regressions and the results show that for buying major blocks, foreign investors who have the purpose of participating in a company show significant positive coefficients but for buying and selling major blocks, dividend and investment variables have little effect on the cumulative average abnormal returns.

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