[No.136] Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

Abstract

We document the determinants of the expectation heterogeneity of stock price forecasters on the TOPIX. Monthly panel data surveyed by QUICK Corporation in the Nikkei Group 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 expectation heterogeneity arises as a result of the co-existence of different types of professionals within the same market. We show that the buy-side and the sell-side professionals, who have 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 expectations formulation of buy-side and sell-side professionals. We find that buy-side professionals incorporate the sell side’s ideas regarding the future stock prices into their own forecasts, although they exclusively refer to their own ideas when relating foreign exchange rates to the 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, i.e., the buy-side professionals. We demonstrate that this interactive expectations formulation also contributes to the generation of the expectation heterogeneity.

＜要旨＞

本論文は、株価予想のばらつきがどのような背景から生じているのかを明らかにする。東証株価指数に関する予測データを分析すると、証券会社のようなセルサイドと自己勘定で運用するバイサイドの投資家は、異なる予想形成をしていることがわかる。両サイドの投資家は、重視する要因が異なるだけでなく、各要因を予想に結びつける考え方も異なる。バイサイドは一般にセルサイドから得た情報を参考に予想を決めているが、為替レートについては自身の見方を優先する傾向がある。セルサイドは常に独立に予想を決める訳ではなく、バイサイドの見方にすり寄る傾向も見受けられた。