Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

知情個體投資者：來自個體賣空交易的證據

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

摘要：本文的研究發現盡管存在内幕交易法律的限制，依然有一些投資者可以依據他們的私人信息進行交易。使用交易賬戶層面的數據，作者發現一些個體投資者擁有特定股票的内幕消息。當這些投資者對這些股票進行賣空時，他們可以獲取15%的超額收益，而買入時可以獲得27%的超額收益；而他們對于其他股票的交易則無法帶來超額收益。這樣的交易頻率較低，并且有進一步的證據可以表明這些知情的個體投資者交易是受到内幕消息驅動的，并非來自于他們的投資技巧。

關鍵詞：賣空交易；個體交易；内幕交易；個體訂單流

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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539816301256

翻譯：殷曼琳