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

誰與誰交易？個人投資者、機構投資者和回報率

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

摘要：通過采用芬蘭超過15年的交易數據，本文研究了資産價格與個人、機構投資者交易行為間的關系。平均來看，當機構投資者從個人投資者那裡買進某資産，會導緻該資産價格的升高，反之當機構投資者向個人投資者賣出某資産将帶來該資産的價格下跌。而當資産在個人投資者内部或機構投資者内部買賣時，我們并沒有發現相關資産出現類似的、穩定的價格變化模式。即使資産價格确實因為其在個人投資者間交易而發生變化，該變化也能很快調整過來；而正是機構投資者與個人投資者之間的買賣交易，推動資産價格向原來的水平恢複。

關鍵詞：機構投資者，個人投資者，流動性保障，價格沖擊

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

原文鍊接：

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

翻譯：柳依依