| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23522 |
| 来源ID | Working Paper 23522 |
| The Relevance of Broker Networks for Information Diffusion in the Stock Market | |
| Marco Di Maggio; Francesco Franzoni; Amir Kermani; Carlo Sommavilla | |
| 发表日期 | 2017-06-19 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper shows that the network of relationships between brokers and institutional investors shapes the information diffusion in the stock market. We exploit trade-level data to show that central brokers gather information by executing informed trades, which is then leaked to their best clients. We show that after large informed trades, a significantly higher volume of other institutional investors execute similar trades through the same broker, allowing them to capture higher returns in the first few days after the initial trade. In contrast, we find that when the informed asset manager is affiliated with the broker, such imitation does not occur. Similarly, we show that the clients of the broker employed by activist investors to execute their trades tend to buy the same stocks just before the filing of the 13D. This evidence also suggests that an important source of alpha for fund managers is the access to better connections rather than superior skill. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w23522 |
| 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/581195 |
| 推荐引用方式 GB/T 7714 | Marco Di Maggio,Francesco Franzoni,Amir Kermani,et al. The Relevance of Broker Networks for Information Diffusion in the Stock Market. 2017. |
| 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 | ||
| w23522.pdf（939KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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