教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:The Impact of Individual Investor Trading on Stock Returns
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
語言英文(美國)
ISSN1558-0938
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版,紙本
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