투자주체별 투자행태 및 투자성과에 관한 연구

After the foreign exchange crisis, foreign investors' power has been growing in stock market. In this state, investment behavior and portfolio outcome of the main participants like individual investors or institutional investors in Korean stock market have always been compared to those of foreign investors. Using the December stock price data of evaluating corporate bodies listed in the securities market, the subjects were sorted by individual investors, institutional investors and foreign investors. According to the share rates of these subjects, we organized portfolios and analyzed investment behaviors of each investor and portfolio outcome. Portfolios were reorganized on annual December basis. To get rid of size effect, we selected 30% of high-rank brands in terms of market capitalization. Fama and French three factor model was used in measuring the portfolio outcome. Also, risk-free rate of return was referred to 3 year-expiry national・public rate of return and market profit rate was referred to the composite price index of stocks. These are the conclusions of this study. Firstly, in the investment behavior classified by investment subjects, individual investors showed negative correlation about the relative importance of retention with institutional investors and foreign investors. In comparison with institutional investors and foreign investors, the correlation was verified. Secondly, in portfolio outcome classified by investment subjects, foreign investors got the highest results and institutional investors were second, while individual investors showed poor results. Lastly, Using the Fama and French three factor model to control the danger factor, foreign investors had more profits in portfolio outcome. The earning rate showed considerate results statistically. By this result, we can find that the foreign investors make better use of information than other investors.