Can Margin Traders Predict Future Stock Returns in Japan?
Can Margin Traders Predict Future Stock Returns in Japan?
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DOI：
10.1007/978-4-431-55402-8_26
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发表时间：
2006-11
期刊：
影响因子：
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通讯作者：
H. Kato;Takehide Hirose;Marc Bremer
中科院分区：
文献类型：
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作者：
H. Kato;Takehide Hirose;Marc Bremer
越来越多的文献表明，投资者情绪在公司层面和市场层面都影响着股票价格。本研究以1994年至2003年日本融资融券交易为研究对象，探讨投资者行为与股票收益之间的关系。在日本，融资融券交易以个人投资者为主。在公司层面的分析中，我们发现融资融券与股票收益之间存在显著的横截面关系。市场层面和公司层面的分析都表明，保证金买入交易者遵循羊群行为。他们似乎遵循小公司股票的正反馈交易行为和大公司股票的负反馈交易行为。我们的研究结果表明，关于保证金购买的信息有助于预测未来的股票回报，特别是短期内的小型公司股票。即使在控制公司规模和流动性后，预测能力也没有减弱。
A growing body of literature suggests that investor sentiment affects stock prices both at the firm level and at the market level. This study examines the relationship between investor behavior and stock returns focusing on Japanese margin transactions using weekly data from 1994 to 2003. Margin trading is dominated by individual investors in Japan. In analysis at the firm level, we find a significant cross-sectional relationship between margin buying and stock returns. Both market-level and firm-level analyses show that margin buying traders follow herding behavior. They seem to follow positive feedback trading behavior for small-firm stocks and negative feedback trading behavior for large firm stocks. Our results show that information about margin buying helps predict future stock returns, especially for small-firm stocks at short horizons. The predictive power does not diminish even after controlling for firm size and liquidity.