Strategy switching in the Japanese stock market |
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Authors: | Ryuichi Yamamoto Hideaki Hirata |
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Affiliation: | 1. Department of International Business, National Chengchi University, Taipei 116, Taiwan;2. Department of Business Administration, Hosei University, Tokyo, Japan |
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Abstract: | This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals. |
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Keywords: | G17 G12 |
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