Earticle

초록

영어

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.

목차

ABSTRACT
 1. Introduction
 2. Data
 3. Identification based on a time-series representation
  3.1. A bivariate model: Under-identification of the model
  3.2. Permanent and temporary restrictions for the identification
  3.3. Informed margin buying and two-sided regression-based causality tests (Sims test)
  3.4 Dynamic causal relations
  3.5 Margin buying and short sales: Substitutes or complements?
 4. The over- and undervaluation hypothesis
  4.1. Identification of over- and undervaluation
  4.2. Tests of the over- and under-valuation
 5. Summary and concluding remarks
 References

키워드

저자

• Bong-Soo Lee [ Department of Finance, College of Business Florida State University ]
• Kwangsoo Ko [ Department of Business Administration College of Business Pusan National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330