Journal of Empirical Finance·VOLUME 44·December 2017

富有投资者具有信息优势吗？基于个体投资者账户分类的证据

作者：XindanLiChen (Nanjing University, China), ZiyangGeng (Shanghai Pudong Development Bank, China), AvanidharSubrahmanyam (Goldyne and Irwin Hearsh Chair in Finance, UCLA, United States), HonghaiYu (Nanjing University, China)

摘要：虽然交易会给个体投资者的财富带来风险，但是一些拥有良好信息网络的投资者可能会获取收益。中国股票市场的数据表示，资产组合价值在前0.5%分位数（“超级”投资者）的富有投资者可以从交易中获利。交易最频繁的“超级”投资者的投资表现显著高于其他的投资者。进一步的研究表明至少部分“超级”投资者的超额收益是由于信息优势。这些“超级”投资者在公司，尤其是“超级”投资者本地的公司，发布高股票股利的时期进行交易获利，但是其他投资者并没有出现这样的交易模式。

关键词：个体投资者、交易、投资者表现、信息

Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors

XindanLiChen (Nanjing University, China), ZiyangGeng (Shanghai Pudong Development Bank, China), AvanidharSubrahmanyam (Goldyne and Irwin Hearsh Chair in Finance, UCLA, United States), HonghaiYu (Nanjing University, China)

ABSTRACT

While trading is hazardous to most individual investors’ wealth, some investors with well-functioning informational networks may be able to turn a profit. Indeed, data from the Chinese stock market show that wealthy investors with portfolio values above the 99.5th percentile (“super” investors) benefit from trading. Super investors who trade the most significantly outperform all other investors. Further investigation attributes at least part of their excess returns to informational advantages. These super investors profitably trade around companies’ announcements of high stock dividends, particularly those registered in these super investors’ localities, while the trades of other investors do not show such patterns.

Keywords: Individual investors; Trading; Investor performance; Information

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300609#!

翻译：殷曼琳