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Are margin traders informed?

delete2019-11-29
delete5
PRE
AI
D
Dayong Lv
W
Wenfeng Wu *
DOI：10.1111/acfi.12578delete
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摘要

摘要

En 中文
The literature offers contradictory views on the informativeness of margin trading using various measures of information content. Utilising data from a Chinese margin-trading pilot programme initiated in 2010, this paper investigates whether margin traders are informed by directly examining the return predictability of margin-trading activity. We find that margin-trading activities cannot positively predict future stock returns. Moreover, we explore some non-informational trading strategies used by margin traders, e.g., positive-feedback strategies and moving-average trading rules. These results suggest that margin traders are noise traders rather than informed traders, and margin trading conveys no new firm-specific information.
Keyword:
Margin trading
Return predictability
Noise traders
Informed traders
Firm-specific information
China
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期刊

Accounting and Finance 封面图
Accounting and Finance
IF:
2.6
论文数:
1.8K
被引数:
4.5K

机构

S
Shanghai Jiao Tong University
学者数:
9.9K
论文数: 2.9K
被引数: 0
S
shanghai lixin university of accounting and finance
学者数:
25
论文数: 23
被引数: 0
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