JOURNAL OF EMPIRICAL FINANCE，VOL44 ,DECEMBER 2017

Journal of Empirical Finance·Vol 44·December 2017

富裕的投资者有信息优势吗？ 基于个人投资者账户分类的证据

作者：Xindan Li(Nanjing University)

Ziyang Geng(Shanghai Pudong Development Bank)

Avanidhar Subrahmanaym(UCLA Anderson School of Management)

Honghai Yu(Nanjing University)

摘要：虽然交易对大多数个人投资者的财富是有害的，但一些拥有较好信息网络的投资者却有可能从中获益。事实上，中国股市的数据显示，投资组合价值在前0.5%的富有资者（“超级”投资者）能够从交易中获益。交易最活跃的超级投资者收益显著高于其他投资者。进一步的研究发现，至少部分超额回报是归因于信息优势。这些超级投资者在企业宣布高股利期间进行获利性的交易，尤其是当这些公司的注册地和投资者所在地相同时更为明显，然而其他投资者的交易则没有表现出同样的规律。

关键词：个人投资者，交易，投资行为，信息

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

Xindan Li(Nanjing University),Ziyang Geng(Shanghai Pudong Development Bank),Avanidhar Subrahmanaym(UCLA Anderson School of Management),Honghai Yu(Nanjing University)

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：王秭越