BAE, KEE-HONG; YAMADA, TAKESHI; ITO, KEIICHI - In: International Review of Finance 6 (2006) 3-4, pp. 129-155
We investigate the gains and losses from equity trades of individual investors, various institutional investors, and foreign investors in the Tokyo Stock Exchange. We develop a trade-weighted performance measure and examine the impact of trading intervals, price spreads, and market timing on...