Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084467 | International Review of Financial Analysis | 2016 | 7 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Bong-Soo Lee, Kwangsoo Ko,