The Impact of Individual Investor Trading on Stock Returns

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	The Impact of Individual Investor Trading on Stock Returns
	Chen, Zhijuan ; Lin, William T. ; Ma, Changfeng ; Zheng, Zhenlong ; Zheng ZL(郑振龙)
刊名	http://dx.doi.org/10.2753/REE1540-496X4904S305
	2013
关键词	SECURITY RETURNS VOLUME SENTIMENT
英文摘要	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.
语种	英语
出版者	M E SHARPE INC
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/93058]
专题	研究生院－已发表论文
推荐引用方式 GB/T 7714	Chen, Zhijuan,Lin, William T.,Ma, Changfeng,et al. The Impact of Individual Investor Trading on Stock Returns[J]. http://dx.doi.org/10.2753/REE1540-496X4904S305,2013.
APA	Chen, Zhijuan,Lin, William T.,Ma, Changfeng,Zheng, Zhenlong,&郑振龙.(2013).The Impact of Individual Investor Trading on Stock Returns.http://dx.doi.org/10.2753/REE1540-496X4904S305.
MLA	Chen, Zhijuan,et al."The Impact of Individual Investor Trading on Stock Returns".http://dx.doi.org/10.2753/REE1540-496X4904S305 (2013).