재무연구 제 권 호 (2015년 5월)
Asian Review of Financial Research, Vol., No..
pp.1339~1361
pp.1339~1361
Margin buying as an individual investor sentiment
Bong-Soo Lee Department of Finance, College of Business Florida State University
Kwangsoo Ko Department of Business Administration College of Business Pusan National University
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.
Bong-Soo Lee
Kwangsoo Ko
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.
