大型机构内部人士在错误方向上的战略交易

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-07-10 DOI:10.2139/ssrn.908708

J. Golec, Erasmo Giambona

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引用次数: 10

摘要

许多理论论文认为，知情的大型交易员应该进行误导性或随机交易，以掩盖他们的交易。或者，知情的交易者可能纯粹根据他们对股票价值的估计进行交易。本文研究了大型机构内部人员周期性错误交易的交易行为，即在买入(卖出)交易包中偶尔进行卖出(买入)交易。使用手工收集的数据集，我们发现四分之三的交易包包含错误的方向交易。错误的交易似乎主要是用来掩盖正确方向的交易。我们发现，错误交易的股票规模更大，收益噪音更小，因此，它们缺乏天然的伪装。错误的交易规模相对较小，用于加剧回报波动性，在一揽子交易中分布均匀，并且不会始终盈利。

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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Strategic Trading in the Wrong Direction By a Large Institutional Insider

Many theoretical papers suggest that large informed traders should make misleading or random trades to disguise their trading. Alternatively, informed traders may trade purely on their estimate of stock value. This paper examines the trading behavior of a large institutional insider that periodically trades in the wrong direction, i.e., makes occasional sell (buy) trades within packages of buy (sell) trades. Using a hand-collected data set, we find that three quarters of the trade packages include wrong-direction trades. Wrong trades appear to be used mostly to disguise right-direction trades. We find that the wrong-trade stocks are larger and have less noisy returns, hence, they lack natural disguise. Wrong trades are relatively small, used to accentuate return volatility, distributed evenly during a package of trades, and are not consistently profitable.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets