分歧能促进知情交易吗?来自激进投资者的证据

Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-12 DOI:10.2139/ssrn.3765092

J. Cookson, Vyacheslav Fos, M. Niessner

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引用次数: 7

摘要

我们使用来自投资者社交网络StockTwits的高频分歧数据来研究投资者分歧对激进投资者知情交易的影响。投资者分歧加大，导致消息灵通的维权人士在接下来的一天进行更多交易。分歧导致价格上涨和测量流动性的改善，但这些观察到的估值和市场流动性差异并不能解释激进交易的增加。相反，投资者的分歧主要通过促进非激进投资者的交易来影响激进投资者的交易。这些发现表明，投资者的分歧不仅会影响不知情的投资者的交易，还会促进知情的市场参与者的交易，后者往往会采取旨在改变公司政策的行动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Does Disagreement Facilitate Informed Trading? Evidence from Activist Investors

We study the effects of investor disagreement on informed trading by activist investors using high-frequency disagreement data derived from the investor social network StockTwits. Greater investor disagreement leads to more trading activity on the subsequent day by privately informed activists. Disagreement leads to higher prices and improvements in measured liquidity, but these observed valuation and market liquidity differences do not explain the increase in activist trading. Instead, investor disagreement affects activist trading primarily by facilitating trading by non-activist investors. These findings suggest that investor disagreement not only affects trading by uninformed investors but also facilitates trading by informed market participants who often take actions aimed at changing corporate policies.

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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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