Correlated trading and location

• 成果类型: Article
• 署名作者: Feng, L; Seasholes, MS
• 署名单位: McKinsey & Company; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00694.x
• 发表日期: 2004
• 页码: 2117-2144
• 关键词: investment strategies; stock-prices; investors; MARKETS; performance; BEHAVIOR; IMPACT

摘要

This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our results are consistent with a simple, rational expectations model of heterogeneously informed investors.