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Adverse Selection batch auctions buy imbalance buy orders cumulative abnormal return differences disadvantage of foreign domestic and foreign domestic individual investors domestic institutional investors domestic investors domestic money managers event day Finance Financial Economics foreign investors buy foreign investors sell foreign investors trade foreign money managers foreign ownership higher prices home bias imbalance by domestic information disadvantage insider trading interval investor type Journal of Financial Korea Korea Stock Exchange Korean stock large negative abnormal large positive abnormal large trades lower prices mean-adjusted return MeanOAdj Michael Woodford NBER Working Papers negative abnormal return net-buy and net-sell net-sell imbalances OOOOOOOOOO paid by investor Panel permanent effect permanent price impact positive abnormal return price-setting imbalances prices than domestic private information advantage purchases relative to domestic sample period Seoul National University significant small trades stock price Stulz Table trades by domestic various investor classes