JOURNAL OF FINANCIAL MARKET· VOLUME 21 ·PAGES 50-57·NOVEMBER 2014

谁与谁交易？个人投资者、机构投资者和回报率

作者：Noah Stoffman（Kelley School of Business - Indiana University）

摘要：通过采用芬兰超过15年的交易数据，本文研究了资产价格与个人、机构投资者交易行为间的关系。平均来看，当机构投资者从个人投资者那里买进某资产，会导致该资产价格的升高，反之当机构投资者向个人投资者卖出某资产将带来该资产的价格下跌。而当资产在个人投资者内部或机构投资者内部买卖时，我们并没有发现相关资产出现类似的、稳定的价格变化模式。即使资产价格确实因为其在个人投资者间交易而发生变化，该变化也能很快调整过来；而正是机构投资者与个人投资者之间的买卖交易，推动资产价格向原来的水平恢复。

关键词：机构投资者，个人投资者，流动性保障，价格冲击

Who trades with whom? Individuals, institutions, and returns

Noah Stoffman (Kelley School of Business - Indiana University)

ABSTRACT

Using all trading in Finland over a 15-year period, I study the relation between price changes and the trading of individuals and financial institutions. On average, prices increase when institutions buy from individuals, and decrease when institutions sell to individuals. No such consistent pattern is observed when individuals trade with other individuals, or when institutions trade with other institutions. If prices do move while individuals trade among themselves, they quickly revert. These reversals occur as institutions trade with individuals in a direction that pushes prices toward previous levels.

Keywords: Institutional investors; Individual investors; Liquidity provision; Price impact

原文链接：

http://www.sciencedirect.com/science/article/pii/S1386418114000652

翻译：柳依依