The study finds that positive and statistically significant abnormal returns occur around the announcement date of foreign direct investments. The finding suggests that security prices in the Korean stock market do reflect firm-specific information, and that FDI by Korean MNCs are, on average, value increasing investment decisions. The finding is consistent with the studies of Doukas and Travlos (1988) and Fatemi (1984) which found similar results for U.S. MNCs. Interestingly, however, the speed of price adjustment is not instantaneous as has been observed in event studies of the U.S. market. The price adjustment to firm–specific information is slower, and the magnitude of abnormal returns is greater, for the firms that are subject to investor herding behavior.
Kim, Wi Saeng. "Does FDI Increase Firm Value in Emerging Markets?" Working Paper 00–03, Weatherhead Center for International Affairs, Harvard University, 2000.