THE JOURNAL OF FINANCIAL ECONOMICS· VOL.125, ISSUE.1·JULY 2017

信息网络：来自非法内部交易信息的证据

作者：Kenneth R. Ahern (University of Southern California)

摘要：这篇文章通过使用手动采集的新颖数据为非法内部交易网络背后的社交关系做出了全面的分析。我们发现内部信息通过基于家人、朋友和地理就近性的强社会关系流动。平均来讲，内部信息起源于公司执行层，通过社交网络三次传播后，到达投资者层面。内部交易在21天内能获得35%的巨大超额收益，并且由于信息在社交网络中的传播会提升价格的有效性，越中心的交易者将获得越可观的收益。更广泛一点说，这篇文章提供了一些投资者之间私人交流的仅有的直接证据。

关键字：非法内部交易，信息网络，社交网络

Information networks: Evidence from illegal insider trading tips

Kenneth R. Ahern (University of Southern California)

ABSTRACT

This paper exploits a novel hand-collected data set to provide a comprehensive analysis of the social relationships that underlie illegal insider trading networks. I find that inside information flows through strong social ties based on family, friends, and geographic proximity. On average, inside tips originate from corporate executives and reach buy-side investors after three links in the network. Inside traders earn prodigious returns of 35% over 21 days, with more central traders earning greater returns, as information conveyed through social networks improves price efficiency. More broadly, this paper provides some of the only direct evidence of person-to-person communication among investors.

Keywords: Illegal insider trading, Information networks, Social networks

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17300570

翻译：吴雨玲