투자자 유형별 투자행태와 투자성과의 차이

This paper analyzes whether there are differences in investment behavior and performance by investor types in Korean stock market from January 1995 to April 2000. The empirical results show that institutional investors and foreign investors are momentum investors who sell stocks with low past returns and buy stocks with high past returns, but individual investors are contrarian investors who sell stocks with high past returns and buy stocks with low past returns.In the respect of investment performance, institutional investors show the best performance, but individual investors show poor performance, and foreign investors indicate the worst performance. These findings are caused that foreign investors have unsophisticated investment skills rather than informational asymmetry. Because the empirical samples consist of high foreign investor ownership 30 companies, there is little information asymmetry between domestic investors and foreign investors.Otherwise, this paper examines the investment behavior and performance of sub-periods analysis under IMF crisis and foreign investor ownership restrictions. Similar to full period results, institutional investors and foreign investors show momentum investors, and individual investors show contrarian investors. But the investment performances of sub-periods are different from full period results.