학회소식
[2017년 제 3차] Investor trading behavior and return predictability
작성자 : 관리자
조회수 : 893
게시일 :
2017-08-31
We study the relation between investors’ trading behavior and stock returns using a Korean dataset. Individual investors are economically significant contrarian traders and their net imbalance predicts future returns positively, on average. These are true mainly for small and mid-cap stocks only and are driven by selling whereas buying’s predictability is negative. These tendencies become clear for stocks actively traded by individual investors. When we take buying and selling separately, stocks heavily bought by institutional investors outperform throughout the following year, and foreign investors’ buying behavior positively predicts intermediate-term future returns. However, stocks sold by institutional and foreign investors also outperform. The patterns we show suggest that individuals’ active behavioral selling might have some role on prices where stocks are predominantly traded by individuals, and are partly consistent with rationality of institutional and foreign investors.
