외국인 투자자의 포트폴리오 성과분석

The objective of this paper is to analyze the performance of portfolio by foreign investors in Korean stock market. Since the foreign investors have been allowed to invest freely in the Korean stock market from 1998, the foreign investors’ trading behavior has had allegedly positive or sometimes negative effect on domestic investors trading behavior, especially on that of the individual investors. I have identified the characteristic of foreign investors preferred holding stocks using the annual financial data and the related stock market data during the term of seven years between 2001 and 2007. The result shows that, as expected in the previous literatures, foreign investors tend to hold large size stocks. This implies that foreign investors trading behavior has different market impact on the return and the volatility depending on the size of the firm. Moreover, this study confirms that the market volatility could be decreased by the foreign investors trading behavior as argued in the previous literatures. Important empirical results are summarized as follows: (1) The foreign investors have features like large business scale, stable and continuous development, and long-term investment to high earning rate business. (2) On the basis of "Fama and French three-factor model", we have analyzed the result of this portfolio without risk factors. As a result, It has proved that get a significantly performance with 2.375%. In case of foreign investors, B/M ratio is significantly positive to them. However, it proves that has significantly negative to them in firm size.