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

會計研究所

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

2 引文斯高帕斯（Scopus）

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.

原文	???core.languages.en_GB???
頁（從 - 到）	200-212
頁數	13
期刊	Quarterly Review of Economics and Finance
卷	58
DOIs	https://doi.org/10.1016/j.qref.2015.03.004
出版狀態	已出版 - 11月 2015

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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",

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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

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Trading behavior and stock returns in Japan

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