Are small investors naive about incentives?

• 成果类型: Article
• 署名作者: Malmendier, Ulrike; Shanthikumar, Devin
• 署名单位: University of California System; University of California Berkeley; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.02.001
• 发表日期: 2007
• 页码: 457-489
• 关键词: STOCK RECOMMENDATIONS; Trade reaction; individual and institutional investors; Conflicts of interest; behavioral finance

摘要

Security analysts tend to bias stock recommendations upward, particularly if they are affiliated with the underwriter. We analyze how investors account for such distortions. Using the NYSE Trades and Quotations database, we find that large traders adjust their trading response downward. While they exert buy pressure following strong buy recommendations, they display no reaction to buy recommendations and selling pressure following hold recommendations. This discounting is even more pronounced when the analyst is affiliated with the underwriter. Small traders, instead, follow recommendations literally. They exert positive pressure following both buy and strong buy recommendations and zero pressure following hold recommendations. We discuss possible explanations for the differences in trading response, including information costs and investor naivete. (C) 2007 Elsevier B.V. All rights reserved.