Holding Behavior of Large and Small Investors in the Presence of Large Investor Premium
報(bào)告人簡(jiǎn)介
徐玉紅，蘇州大學(xué)正高職研究員，博士生導(dǎo)師，仲英青年學(xué)者。師從國(guó)際著名金融數(shù)學(xué)家彭實(shí)戈院士。長(zhǎng)期從事金融工程與科技方面的研究，研究結(jié)果在Mathematical Finance、Management Science、Quantitative Finance、North American Journal of Economics and Finance等雜志發(fā)表。任中國(guó)運(yùn)籌學(xué)會(huì)金融工程與風(fēng)險(xiǎn)管理分會(huì)第三、四屆常務(wù)理事、中國(guó)優(yōu)選法統(tǒng)籌法與經(jīng)濟(jì)數(shù)學(xué)研究會(huì)量化金融與保險(xiǎn)分會(huì)第一、二屆理事、全國(guó)工業(yè)統(tǒng)計(jì)研究會(huì)金融科技與大數(shù)據(jù)分會(huì)第一屆理事、中國(guó)工業(yè)與應(yīng)用數(shù)學(xué)協(xié)會(huì)金融工程分會(huì)青年組委員、金融數(shù)學(xué)與數(shù)據(jù)處理年會(huì)程序委員。先后主持國(guó)家自然科學(xué)基金3項(xiàng)、江蘇省自然科學(xué)基金2項(xiàng)。
內(nèi)容簡(jiǎn)介
We develop a theoretical model to study investors' trading behavior in the presence of large investors' influence on a firm's equity. We show that, for a good stock, large investors tend to invest more heavily than smart small investors, even though they predict the same equity returns. However, the smart small investors obtain more welfare and thus perform as free riders in this economy. Moreover, the analyses are extended to firms with more than one influential large investor. We find that: (i) the large shareholders collude in trading, and each tends to invest more aggressively as other large shareholders do, and (ii) firms with sole ownership can outperform those with dispersed ownership, if the impact coefficient of the former case exceeds or coincides with the aggregated impact coefficients of the latter.
