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. Since most Japanese margin buyers are individuals, our analysis is equivalent to testing the effect of an individual investor sentiment on stock returns. 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.
JEL classifications: G12, G14, G17, C58
Keywords: margin buying, investor sentiment, informed trade, undervaluation, VAR
학회소식
공지사항
[2015년 제 2차] Margin buying as an individual investor sentiment
작성자 : 관리자
조회수 : 874
게시일 :
2015-06-03