Are Investors Naive About Incentives?
Are Investors Naive About Incentives?
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DOI：
10.3386/w10812
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发表时间：
2004-10
期刊：
影响因子：
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通讯作者：
Ulrike Malmendier;Devin M. Shanthikumar
中科院分区：
文献类型：
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作者：
Ulrike Malmendier;Devin M. Shanthikumar
对信息不对称市场的传统经济分析假设，不知情的代理人解释了知情代理人扭曲信息的动机。我们分析了股票市场的投资者是否将这种激励内化。证券分析师的股票推荐很可能偏向于向上，特别是如果发行分析师与推荐股票的承销商有关联。使用纽约证券交易所交易和报价数据库，我们发现，大型（机构）交易员占向上的偏见，并施加不正常的交易反应，购买建议，并显着的抛售压力，以响应持有建议。小（个人）交易者不占向上移动，并施加显着的正压力购买和零压力持有建议。此外，大型交易者对关联分析师的正面建议的折扣要高于非关联分析师，而小型交易者则不会区分两者。小投资者的幼稚交易行为会导致负的投资组合异常收益。
Traditional economic analysis of markets with asymmetric information assumes that uninformed agents account for the incentives of informed agents to distort information. We analyze whether investors in the stock market internalize such incentives. Stock recommendations of security analysts are likely to be biased upwards, particularly if the issuing analyst is affiliated with the underwriter of the recommended stock. Using the NYSE Trades and Quotations database, we find that large (institutional) traders account for the upward bias and exert no abnormal trade reaction to buy recommendations, and significant selling pressure in response to hold recommendations. Small (individual) traders do not account for the upward shift and exert significantly positive pressure for buys and zero pressure for hold recommendations. Moreover, large traders discount positive recommendations from affiliated analysts more than from unaffiliated analysts, while small traders do not distinguish between them. The naive trading behavior of small investors induces negative abnormal portfolio returns.