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

• 成果类型: Article
• 署名作者: Di Maggio, Marco; Franzoni, Francesco; Kermani, Amir; Sommavilla, Carlo
• 署名单位: Harvard University; National Bureau of Economic Research; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of California System; University of California Berkeley; National Bureau of Economic Research; University of Geneva
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.04.002
• 发表日期: 2019
• 页码: 419-446
• 关键词: Broker networks; institutional investors; asset prices; Information leakage

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.