| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18680 |
| 来源ID | Working Paper 18680 |
| Informed Trading and Expected Returns | |
| James J. Choi; Li Jin; Hongjun Yan | |
| 发表日期 | 2013-01-04 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of institutional trading in a stock positively predicts institutions' future information advantage in this stock. Sorting stocks on this predictor and controlling for other correlates of expected returns, we find that the top quintile's average annualized return in the next month is 10.8% higher than the bottom quintile's, indicating that information asymmetry increases expected returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18680 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576352 |
| 推荐引用方式 GB/T 7714 | James J. Choi,Li Jin,Hongjun Yan. Informed Trading and Expected Returns. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18680.pdf（1307KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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