Trading behavior and stock returns in Japan

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

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


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 languageEnglish
Pages (from-to)200-212
Number of pages13
JournalQuarterly Review of Economics and Finance
StatePublished - Nov 2015


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


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