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Are Japanese margin buyers informed?

Bong-Soo Lee and Kwangsoo Ko

International Review of Financial Analysis, 2016, vol. 45, issue C, 47-53

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.

Keywords: Margin buying; Short selling; Informed trade; Undervaluation; VAR (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 G17 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:45:y:2016:i:c:p:47-53

DOI: 10.1016/j.irfa.2016.02.010

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