Trading behavior and stock returns in Japan

Weifeng Hung; Sheng Tang Huang; Chia Chi Lu; Nathan Liu

doi:10.1016/j.qref.2015.03.004

Trading behavior and stock returns in Japan

Weifeng Hung, Sheng Tang Huang, Chia Chi Lu, Nathan Liu

Graduate Institute of Accounting

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	200-212
Number of pages	13
Journal	Quarterly Review of Economics and Finance
Volume	58
DOIs	https://doi.org/10.1016/j.qref.2015.03.004
State	Published - Nov 2015

Keywords

Individual investors
Institutional investors
Japan stock market
Size effect
Value effect

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10.1016/j.qref.2015.03.004

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title = "Trading behavior and stock returns in Japan",

abstract = "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.",

keywords = "Individual investors, Institutional investors, Japan stock market, Size effect, Value effect",

author = "Weifeng Hung and Huang, {Sheng Tang} and Lu, {Chia Chi} and Nathan Liu",

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AU - Hung, Weifeng

AU - Huang, Sheng Tang

AU - Lu, Chia Chi

AU - Liu, Nathan

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N2 - 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.

AB - 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.

KW - Individual investors

KW - Institutional investors

KW - Japan stock market

KW - Size effect

KW - Value effect

UR - http://www.scopus.com/inward/record.url?scp=84947865690&partnerID=8YFLogxK

U2 - 10.1016/j.qref.2015.03.004

DO - 10.1016/j.qref.2015.03.004

M3 - 期刊論文

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SN - 1062-9769

VL - 58

SP - 200

EP - 212

JO - Quarterly Review of Economics and Finance

JF - Quarterly Review of Economics and Finance

ER -

Trading behavior and stock returns in Japan

Abstract

Keywords

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