Trading behavior and stock returns in Japan

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

The Quarterly Review of Economics and Finance, 2015, vol. 58, issue C, 200-212

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.

Keywords: Institutional investors; Individual investors; Value effect; Size effect; Japan stock market (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:58:y:2015:i:c:p:200-212

DOI: 10.1016/j.qref.2015.03.004

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