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Trading behavior and stock returns in Japan

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

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.

Suggested Citation

  • Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
    • Handle: RePEc:eee:quaeco:v:58:y:2015:i:c:p:200-212
    DOI: 10.1016/j.qref.2015.03.004
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    Cited by:

    1. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.

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    More about this item

    Keywords

    Institutional investors; Individual investors; Value effect; Size effect; Japan stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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