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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93180


    Title: The Impact of Individual Investor Trading on Stock Returns
    Authors: Chen, Zhijuan;Lin, William T.;Ma, Changfeng;Zheng, Zhenlong
    Contributors: 淡江大學財務金融學系
    Keywords: individual investors;noise traders;stock returns;systematic
    Date: 2013-07-01
    Issue Date: 2013-12-03 22:45:38 (UTC+8)
    Publisher: Armonk: M.E. Sharpe, Inc.
    Abstract: 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.
    Relation: Emerging Markets Finance and Trade 49(3), pp.62-69
    DOI: 10.2753/REE1540-496X4904S305
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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