Can Margin Traders Predict Future Stock Returns in Japan?
作者： Takehide Hirose , Hideaki Kiyoshi Kato , Marc Bremer
DOI: 10.1007/978-4-431-55402-8_26
关键词: Herd behavior 、 Investor behavior 、 Economics 、 Market liquidity 、 Predictive power 、 Stock (geology) 、 Behavioral economics 、 Financial economics
摘要: A growing body of literature suggests that investor sentiment affects stock prices both at the firm level and market level. This study examines relationship between behavior returns focusing on Japanese margin transactions using weekly data from 1994 to 2003. Margin trading is dominated by individual investors in Japan. In analysis level, we find a significant cross-sectional buying returns. Both market-level firm-level analyses show traders follow herding behavior. They seem positive feedback for small-firm stocks negative large stocks. Our results information about helps predict future returns, especially short horizons. The predictive power does not diminish even after controlling size liquidity.
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