Contrarian Trades and Disposition Effect: Evidence from Online Trade Data

41 Pages Posted: 25 Jan 2018 Last revised: 13 May 2018

See all articles by Hayato Komai

Hayato Komai

Video Research Interactive Inc.

Ryota Koyano

Video Research Interactive Inc.

Daisuke Miyakawa

Hitotsubashi University

Date Written: May 9, 2018

Abstract

Using the data accounting for 793 retail investors’ online trading actions (i.e., buy and sell) targeting 3,420 Japanese stocks measured in virtually every second from April 2013 to March 2016, we identify the association of those precisely measured trading actions with the daily and intraday returns of those stocks. The results obtained from our estimation show that, on average, the individual investors make contrarian trades and are disposition investors with respect to intraday return. We also confirm that the intraday returns explain investment actions to much larger extent than the daily-level return does for frequent traders, large-cap stocks, female investors, and those who are in relatively wealthy households. These results suggest that the determinants of investment actions crucially depend on the heterogeneity of individuals and stocks.

Keywords: Contrarian, Disposition Effect, Retail Investors, Online Trade, High-Frequency Data

JEL Classification: G11, G02

Suggested Citation

Komai, Hayato and Koyano, Ryota and Miyakawa, Daisuke, Contrarian Trades and Disposition Effect: Evidence from Online Trade Data (May 9, 2018). Asian Finance Association (AsianFA) 2018 Conference. Available at SSRN: https://ssrn.com/abstract=3109297 or http://dx.doi.org/10.2139/ssrn.3109297

Hayato Komai

Video Research Interactive Inc. ( email )

6-17 Sanban-cho
Chiyoda-ku
Tokyo, 102-0075
Japan

Ryota Koyano

Video Research Interactive Inc. ( email )

6-17 Sanban-cho
Chiyoda-ku
Tokyo, 102-0075
Japan

Daisuke Miyakawa (Contact Author)

Hitotsubashi University ( email )

2-1 Naka Kunitachi-shi
Tokyo 186-8601
Japan

Register to save articles to
your library

Register

Paper statistics

Downloads
49
Abstract Views
312
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information