摘要： •Institutional investors net buy growth stocks and net sell value stocks.•Individual investors net buy small/value stocks, and net sell large/growth stocks.•Institutional trading information improves the value strategy.•Investors’ trading behavior is weak in explaining value and size premiums in Japan. By using comprehensive firm-level dataset which includes all investors’ holdings in Japan, we show that institutional investors tend to net buy growth stocks and net sell value stocks. Conversely, individual investors tend to net buy small and value stocks, and net sell large and growth stocks. There is a significantly negative relation between annual changes in institutional ownership and future stocks returns. From an investment perspective, incorporating institutional trading information can significantly improve the value strategy. 出版者： Greenwich: Elsevier Inc 出版日期： 2015-11-01 出處： The Quarterly review of economics and finance, 2015-11, Vol.58, p.200-212 版權： 2015 The Board of Trustees of the University of Illinois 版權： Copyright Elsevier Science Ltd. Nov 2015 識別號： ISSN: 1062-9769 識別號： EISSN: 1878-4259 識別號： DOI: 10.1016/j.qref.2015.03.004
