The relevance of broker networks for information diffusion in the stock market

Di Maggio Marco; Franzoni Francesco; Kermani Amir; Sommavilla Carlo

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The relevance of broker networks for information diffusion in the stock market

机译：经纪网络在股票市场信息扩散的相关性

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摘要

This paper shows that the network of relationships between brokers and institutional investors shapes information diffusion in the stock market. Central brokers gather information by executing informed trades, which is then leaked to their best clients. After large informed trades, other institutional investors are significantly more likely to execute similar trades through the same broker, allowing them to capture returns that are twice as large as their normal trading performance. Also indicative of information leakage, the clients of the broker employed by activist investors to execute their trades buy the same stocks just before the filing of the 130. (C) 2019 Published by Elsevier B.V.

机译：本文表明，经纪人与机构投资者之间的关系网络塑造了股票市场中的信息扩散。中央经纪人通过执行知情行业来收集信息，然后将其泄露于最佳客户。经过大量知情行业后，其他机构投资者更有可能通过同一代理执行类似的交易，使他们捕获两倍的回报是正常交易绩效的两倍。还指示信息泄露，主席公司投资者雇用其交易的经纪人的客户在申请130年之前购买相同的股票。（c）2019由elestvier b.v发布。

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来源
《Journal of financial economics》 |2019年第2期|419-446|共28页
作者
Di Maggio Marco; Franzoni Francesco; Kermani Amir; Sommavilla Carlo;
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作者单位

Harvard Sch Business 25 Harvard Way Baker Lib 265 Boston MA 02163 USA|NBER 25 Harvard Way Baker Lib 265 Boston MA 02163 USA;

USI Lugano Via G Buffi 13 CH-6904 Lugano Switzerland|Swiss Finance Inst Via G Buffi 13 CH-6904 Lugano Switzerland|CEPR Via G Buffi 13 CH-6904 Lugano Switzerland;

Univ Calif Berkeley Haas Sch Business 545 Student Serv Bldg 1900 Berkeley CA 94720 USA|NBER 545 Student Serv Bldg 1900 Berkeley CA 94720 USA;

Univ Geneva 42 Bd Pont dArve CH-1211 Geneva Switzerland;

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原文格式 PDF
正文语种 eng
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关键词
Broker networks; Institutional investors; Asset prices; Information leakage;

机译：经纪网络;机构投资者;资产价格;信息泄漏;

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1. Forecasting returns on a stock market using Artificial Neural Networks and GARCH family models: Evidence of stock market S & P 500 [J] . Selmi N., Chaabene S., Hachicha N. Decision Science Letters . 2015,第2期

机译：使用人工神经网络和GARCH族模型预测股票市场的回报：股票市场标准普尔500的证据
2. Adjustment dynamics between broker-dealer leverage and stock market: a threshold cointegration analysis [J] . Ahmed M. Iqbal, Farah Quazi Fidia Empirical Economics . 2021,第1期

机译：经纪人经销商杠杆和股票市场之间的调整动态：阈值整形分析
3. Broker-dealer Leverage and the Stock Market [J] . Apostolos Serletis, Khandokar Istiak Open economies review . 2018,第2期

机译：经纪人交易杠杆与股票市场
4. Stock Broker P - sentiment extraction for the stock market [C] . R. Khare, N. Pathak, S. K. Gupta, International Conference on Data Mining; 2004; Malaga(ES) . 2004

机译：Stock Broker P-股市情绪提取
5. Taiwanese high -tech stocks: Using artificial neural networks to test weak -form market efficiency in the Taiwan Electronic Index and to develop an evaluation model of investment strategy in Taiwanese stock markets. [D] . Shih, Kuang-Hsun. 2003

机译：台湾高科技股票：使用人工神经网络在台湾电子指数中测试弱形式的市场效率，并开发台湾股票市场的投资策略评估模型。
6. Development of Stock Networks Using Part Mutual Information and Australian Stock Market Data [O] . Yan Yan, Boyao Wu, Tianhai Tian, 2020

机译：使用零件相互信息和澳大利亚股市数据的股票网络发展
7. The Relevance of Broker Networks for Information Diffusion in the Stock Market [O] . Marco Di Maggio, Francesco A. Franzoni, Amir Kermani, 2017

机译：经纪网络在股票市场信息扩散的相关性

The relevance of broker networks for information diffusion in the stock market

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