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Are Japanese margin buyers informed?

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  • Lee, Bong-Soo
  • Ko, Kwangsoo

Abstract

Using Japanese long sample (1977–2010) market data, we examine whether margin buying is informed trades about future stock returns and whether they are related to undervaluation of the market. We find that margin buying increases when temporary returns are higher contemporaneously. We do not find that Japanese margin buying is well-informed in predicting future permanent changes in stock returns. Further, we find that margin buying is not related to the undervaluation of stock market prices.

Suggested Citation

  • Lee, Bong-Soo & Ko, Kwangsoo, 2016. "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 47-53.
    • Handle: RePEc:eee:finana:v:45:y:2016:i:c:p:47-53
    DOI: 10.1016/j.irfa.2016.02.010
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    References listed on IDEAS

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    More about this item

    Keywords

    Margin buying; Short selling; Informed trade; Undervaluation; VAR;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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