Trading behavior and stock returns in Japan

被引：0

作者：

Hung, Weifeng ^{[1
]}

Huang, Sheng-Tang ^{[2
]}

Lu, Chia-Chi ^{[3
,4
]}

Liu, Nathan ^{[1
]}

机构：

[1] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[2] Taoyuan Innovat Inst Technol, Dept Finance, Taoyuan, Taiwan

[3] Natl Cent Univ, Dept Finance, Taoyuan, Taiwan

[4] Natl Cent Univ, Grad Inst Accounting, Taoyuan, Taiwan

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2015年 / 58卷

关键词：

Institutional investors; Individual investors; Value effect; Size effect; Japan stock market;

D O I：

10.1016/j.qref.2015.03.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

By using comprehensive firm-level dataset which includes all investors' holdings in Japan, we show that institutional investors tend to net buy growth stocks and net sell value stocks. Conversely, individual investors tend to net buy small and value stocks, and net sell large and growth stocks. There is a significantly negative relation between annual changes in institutional ownership and future stocks returns. From an investment perspective, incorporating institutional trading information can significantly improve the value strategy. (C) 2015 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：200 / 212

页数：13

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