清华大学中国金融研究中心讨论会
行为金融与系统风险
主讲人：朱宁
时间：2005年6月14日（星期二）19：00
地点：清华大学经济管理学院伟伦楼北401
语言：中文
朱宁
Education
Ph.D. Finance, 2003, Yale University
M.S. Management, 1999, Cornell University，
B. Econ. International Finance, 1997, Beijing University
Working Experience
Assistant Professor of Finance, University of California, Davis, 2003-Present
Consultant, MQA Advisor (Hedge Fund), 2002-2003
Fellow, International Center for Finance, 2001-Present
Lecturer/Teaching Assistant, Yale School of Management, 1999-2003
论文摘要
A substantial literature in institutional herding examines reasons for and evidence of correlated trading across institutional investors, but little has been written about the extent to which individual investor trading is correlated or why. We document that the trading of individuals is highly correlated and surprisingly persistent. Furthermore, we find that the systematic trading of individual investors is driven by their own decisions—trades they initiated—rather than by passive reactions to institutional herding. We discuss why this correlation is unlikely to stem from the same motivations as institutional herding. Correlated trading by individual is a necessary condition for the trading biases of individual investors to affect asset prices, since the trades of any particular individual are likely to be small. The preferences for buying some stocks while selling others must be shared by many individual investors if these preferences are to affect prices. We analyze trading records for 66,465 households at a large national discount broker between January 1991 and November 1996 and 665,533 investors at a large retail broker between January 1997 and June 1999. Using a variety of empirical approaches, we document that the trading of individuals is more coordinated than one would expect by mere chance. For example, if individual investors are net buyers of a stock this month, they are likely to be net buyers of the stock next month. In additional analyses, we present four stylized facts about the trading of individual investors: (1) they buy stocks with strong past returns; (2) they also sell stocks with strong past returns, though this relation is stronger than that for buys at short horizons (one to two quarters), but weaker at long horizons (up to 12 quarters); (3) their buying is more concentrated in fewer stocks than selling; and (4)they are net buyers of stocks with unusually high trading volume.
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