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.
|頁（從 - 到）||200-212|
|期刊||Quarterly Review of Economics and Finance|
|出版狀態||已出版 - 11月 2015|