Institutional Informed Trading and Stock Price Behavior

機構法人資訊交易與股價行為

10.6545/JFS.201806_26(2).0002

朱榕屏(Lon-Ping Zu)；楊智元(Chih-Yuan Yang)

Informed trading ； institutions ； multiple transactions ； market anomalies ； 資訊交易 ； 機構法人 ； 多期交易 ； 市場異象

財務金融學刊

26卷2期（2018 / 06 / 30）

39 - 91

英文

We assume that the aim of informed institutions is to maximize the joint profits of multiple investing sessions. The model shows that when the aggregate informed trades are relatively large, institutions would reach agreement in private, delaying the use of the information. Such delaying action is quite different from prior studies adopting rational expectations models, which mainly infer that institutions obtain and use information immediately, and the action can explain some market anomalies.

本文模型設定法人決策行為並非僅關注當下的利得，而是考量未來多期交易的利潤總合。結果顯示當資訊交易總量較大時，機構法人將私下協議共同延後使用資訊。此一結果與過往文獻認為機構法人在取得資訊後會立即使用的結論迥然不同。機構法人共同延後使用資訊的行為可解釋部分市場異象。

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