机构投资者总能打败个人投资者吗？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-09-12 DOI:10.1016/j.finmar.2025.101018

Yaqing Yang , Junqing Kang , Youcheng Lou

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引用次数: 0

摘要

在不完全竞争市场中，我们发现具有信息优势的机构投资者比内化其价格影响的成熟个人投资者始终获得更高的预期交易利润。然而，当噪声交易量和噪声信号比足够高时，机构投资者的表现不如充当价格接受者的天真的个人投资者。天真投资者的激进交易行为，由于他们没有考虑到价格的影响，迫使机构投资者减少他的交易激进性。我们的研究结果强调，在某些条件下，天真交易者的非理性行为会侵蚀信息驱动型交易策略的优势。

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Can institutional investors always beat individual investors?

In an imperfectly competitive market, we find that an institutional investor with an information advantage consistently earns higher expected trading profits than sophisticated individual investors who internalize their price impact. However, when noise-trading volume and the noise-to-signal ratio are sufficiently high, the institutional investor underperforms naive individual investors who act as price-takers. The aggressive trading behavior of naive investors, driven by their failure to account for price impact, forces the institutional investor to reduce his trading aggressiveness. Our findings highlight that, under certain conditions, the irrationality of naive traders can erode the advantages of information-driven trading strategies.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.