期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2013-07-01 |
| 作品名稱 | The Impact of Individual Investor Trading on Stock Returns |
| 作品名稱（其他語言） | |
| 著者 | Chen, Zhijuan; Lin, William T.; Ma, Changfeng; Zheng, Zhenlong |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Armonk: M.E. Sharpe, Inc. |
| 著錄名稱、卷期、頁數 | Emerging Markets Finance and Trade 49(3), pp.62-69 |
| 摘要 | In this paper, we study the impact of the trading of individual investors on short-horizon stock returns from 2005 to 2006 using a unique data set provided by the Taiwan Stock Exchange. We examine the predictability of stock returns based on net individual trading by using the portfolio-sorting approach and the Fama-MacBeth regression method. Contrary to previously offered conclusions, we find that the imbalance in individual trading negatively predicts future stock returns on a stock-by-stock basis, which indicates that individual investors can be viewed as noise traders to some extent. At the same time, using the principal component analysis, we find that the noise trading of individuals is not systematic. |
| 關鍵字 | individual investors;noise traders;stock returns;systematic |
| 語言 | en_US |
| ISSN | 1558-0938 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93180 ) |