Individual investor flows and cross-section of stock returns : Evidence from Japan

DOI 機関リポジトリ (HANDLE)

この論文をさがす

説明

This paper examines whether noise trading has signicant impacts on the cross-section of stock returns by analyzing the relationship between the trading activity of individual investors and future stock returns. I nd that stocks heavily sold by individual investors outperform stocks heavily purchased by 0.73 percent per month, which is more pronounced among rms with stronger limits to arbitrage. These ndings are in accord with the predictions of noise trader models in which the systematic activities of noise traders affect stock returns when they trade in concert and there is limitation to the activities of rational arbitrageurs.

収録刊行物

関連プロジェクト

もっと見る

キーワード

詳細情報 詳細情報について

  • CRID
    1390572174782927488
  • NII論文ID
    120006809420
  • NII書誌ID
    AA10459262
  • DOI
    10.15002/00022542
  • HANDLE
    10114/00022542
  • ISSN
    09111247
  • 本文言語コード
    en
  • 資料種別
    departmental bulletin paper
  • データソース種別
    • JaLC
    • IRDB
    • CiNii Articles
    • KAKEN
  • 抄録ライセンスフラグ
    使用可

問題の指摘

ページトップへ