Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

知情个体投资者：来自个体卖空交易的证据

作者：Keith Jacks Gamble (Jones College of Business, Middle Tennessee State University), Wei Xu (HSBC School of Business, Peking University)

摘要：本文的研究发现尽管存在内幕交易法律的限制，依然有一些投资者可以依据他们的私人信息进行交易。使用交易账户层面的数据，作者发现一些个体投资者拥有特定股票的内幕消息。当这些投资者对这些股票进行卖空时，他们可以获取15%的超额收益，而买入时可以获得27%的超额收益；而他们对于其他股票的交易则无法带来超额收益。这样的交易频率较低，并且有进一步的证据可以表明这些知情的个体投资者交易是受到内幕消息驱动的，并非来自于他们的投资技巧。

关键词：卖空交易；个体交易；内幕交易；个体订单流

Informed retail investors: Evidence from retail short sales

Keith Jacks Gamble (Jones College of Business, Middle Tennessee State University), Wei Xu (HSBC School of Business, Peking University)

ABSTRACT

Our study suggests that despite the enforcement of insider trading laws, there are still some investors trading on their private information. Using account-level information, we show that some retail investors seem to be informed about particular stocks. When they sell short these stocks, they earn an alpha of 15%; when they purchase these stocks, they earn an alpha of 27%. Other short sales and purchases by the same investor do not earn significant alpha. These informed trades are rare and further evidence suggest that these informed retail trades are motivated by private information rather than trading skill.

Keywords: Short sale; Retail trades; Informed trades; Retail order flow

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816301256

翻译：殷曼琳