Are Japanese margin buyers informed?

作者：Lee Bong Soo; Ko Kwangsoo

来源：International Review of Financial Analysis, 2016, 45: 47-53.

DOI：10.1016/j.irfa.2016.02.010

• Margin buying
• Short selling
• Informed trade
• Undervaluation
• VAR

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. 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.

• 出版日期2016-5