We examine the behavior and performance of individual investors in Japan. In empirical tests using market level data, we find that Japanese individual investors own risky and high book-tomarket stocks, trade frequently, make poor trading decisions, and buy recent winners. Further, these behaviors and characteristics appear to vary depending on the bull or bear market conditions. As such, we believe our results provide important additional insights into the behaviors of individual investors. Interestingly, we also observe that it is primarily during a bull market where individuals tend to hold high book-to-market stocks, as opposed to a bear market where they exhibit an inclination toward high beta stocks. Overall, the poor performance by individual investors can largely be explained by this tendency to hold value stocks during advancing markets and high risk stocks during declining stocks. Finally, the fact that these behaviors reveal themselves at the market level also represents an important finding.