Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

Ryuichi Yamamoto*, Hideaki Hirata

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We document the determinants of the expectation heterogeneity of stock price forecasters on TOPIX. Monthly panel data collected by QUICK Corporation in the Nikkei Group via surveys is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample into buy-side and sell-side professionals and demonstrate that the co-existence of different types of professionals contributes to the expectation heterogeneity. We show that buy-side and the sell-side professionals, who possess different business goals, differentiate the information contents as well as their interpretations of the same information in their forecasts, contributing to the expectation heterogeneity. In addition, we investigate the interactive expectation formulation of buy-side and sell-side professionals and find that buy-side professionals incorporate the sell side's ideas regarding future stock prices into their own forecasts, but refer exclusively to their own ideas when relating foreign exchange rates to future stock prices. Meanwhile, sell-side professionals tend to utilize buy-side professionals' ideas about future prices in order to improve their research and ingratiate themselves to their clients, that is, to the buy-side professionals. We demonstrate that this interactive expectation formulation also contributes to the generation of the expectation heterogeneity.

本文言語English
ページ(範囲)723-744
ページ数22
ジャーナルPacific Basin Finance Journal
20
5
DOI
出版ステータスPublished - 2012 11
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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