透明度变化对股票市场投资者委托单提交行为和交易成本影响研究

基于2003年12月8日沪深交易所交易前市场透明度改革背景,本文利用一家营业部的投资者报价和交易数据,研究同一个机构投资者和散户投资者在透明度改革前后委托单提交激进程度的变化,以及这种变化对其完成交易的成本的影响。我们发现,透明度改革前后,机构投资者的委托单提交激进程度都显著大于散户投资者的委托单提交激进程度。透明度增加以后,机构投资者的委托单激进程度显著减少,而散户投资者的委托单提交激进程度增加。同时发现,透明度增加以后,机构投资者通过分拆委托单,增加交易次数,导致完成交易的时间增加,但价格影响力基本没有变化,散户投资者的成交时间和价格影响力有显著改善。     

Does Anticipated Information Impose a Cost on Risk‐Averse Investors? A Test of the Hirshleifer Effect

This paper theoretically and empirically investigates how the risk of future adverse price changes created by the anticipated arrival of information influences risk‐averse investors’ trading decisions in institutionally imperfect capital markets. Specifically, I examine how the selling activity of individual investors immediately following an earnings announcement is influenced by the tradeoff between risk‐sharing benefits of immediate trade and explicit transaction costs imposed on such trades. Consistent with my theoretically derived predictions, I find that investors’ current trading decisions are less sensitive to the incremental transaction costs created by short‐term capital gains taxes on trading profits, as both the duration and intensity of the risk of future adverse price changes increase. This evidence is consistent with an incremental cost to investors that results from the revelation of precise information, which is commonly referred to as the Hirshleifer Effect.     

From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs

This paper provides evidence that disclosing corporate bond investors' transaction costs (markups) affects the size of the markups. Until recently, markups were embedded in the reported transaction price and not explicitly disclosed. Without explicit disclosure, investors can estimate their markups using executed transaction prices. However, estimating markups imposes information processing costs on investors, potentially creating information asymmetry between unsophisticated investors and bond‐market professionals. We explore changes in markups after bond‐market professionals were required to explicitly disclose the markup on certain retail trade confirmations. We find that markups decline for trades that are subject to the disclosure requirement relative to those that are not. The findings are pronounced when constraints on investors' information processing capacity limit their ability to be informed about their markups without explicit disclosure.     

Trading Better Versus Making More: Evidence from an Emerging Market

Using transaction data from Egypt, we examined the controversy over which investor—domestic or foreign—has superior trading performance in emerging markets. We account for informational and behavioral differences across investors by classifying them by origin and type and comparing their performance in trade execution versus profitability. Domestic institutions execute trades at the best prices with the greatest advantage against foreign institutions. This advantage is reduced when foreign institutions focus on large firms and trades. Profitability analysis revealed, however, that domestic investors accrue significant losses against foreign investors, suggesting that trading better does not necessarily translate into making more money.     

On short-term institutional trading skill,behavioral biases,and liquidity need

Are portfolio managers skilled or do they trade too much? Using a marked-to-market based “fair-value” method for measuring fund manager skill, we find that institutional managers can potentially earn +42 (+33) basis points benchmark-adjusted return before transaction costs after a holding period of four weeks on their buy (sell) trades. After transaction costs, the benchmark-adjusted return for the buy (sell) trades is +1 (-8) basis points. Pension fund managers outperform money managers. We are unable to detect evidence for overconfidence among pension fund managers over this short-horizon. In addition, we are unable to find evidence of disposition effect among mutual fund managers. Institutions tend to engage in short-term trades with holding period of four weeks (or less) despite only breaking-even or making economically insignificant (modest) benchmark-adjusted losses after round-trip transaction costs for liquidity, risk-management, or tax-minimization reasons. Among these, evidence for liquidity trading motive is the strongest.     

Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia

Foreign investors generally underperform domestic investors in trading activities. This study shows that their inferior performance is attributable to non-initiated orders. Foreign investors actually perform better than domestic investors in initiated orders. In addition, their performance is also mixed when trades are classified depending on who the counterparties are. These mixed performances can be explained by neither the information disadvantage hypothesis proposed by [Dvo?ák, T., 2005. Do domestic investors have an information advantage? Evidence from Indonesia. Journal of Finance 60, 817–839.] nor the poor timing of trade hypothesis suggested by [Choe, H., Kho, B.C., Stulz, R., 2005. Do domestic investors have an edge? The trading experience of foreign investors in Korea. Review of Financial Studies 18, 795–829.]. We propose and confirm that their inferior performance is explained by their aggressive trading behavior. Three metrics we utilize to measure the aggressiveness of foreign investors’ trading provide overwhelmingly strong evidence that foreign investors are more aggressive than their domestic counterparts.     

Secondary Trading Costs in the Municipal Bond Market

Using new econometric methods, we separately estimate average transaction costs for over 167,000 bonds from a 1‐year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantially more expensive than similar‐sized equity trades. We attribute these results to the lack of bond market price transparency. Additional cross‐sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds.     

Do uninformed crossed and internalized trades tap into unexpressed liquidity? The case of Nokia

Crossed and internalized upstairs trades are analysed in a dataset in which institutional investors can be identified. Earlier findings that upstairs trading is uninformed, taps into unexpressed liquidity, and does not affect market quality are revisited. The permanent price effect of crossings and internalized upstairs trades is significantly lower than that of limit order book trades due to the fact that the least informed institutional trades are routed upstairs. Crossed and internalized trades affect the depth and transaction costs in the limit order book and a greater reliance is placed on the upstairs market when liquidity is low and volatility is high.     

Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s

Two hypotheses have been advanced to explain why spreads on NASDAQ were substantially higher than those on the NYSE in the 1990s: “collusion” and “preferencing and payment for order flow.” We present data on all actively traded stocks in these markets of relative effective spreads (RES), aggregated monthly over 1987–1999 and advance a third hypothesis: NASDAQ “SOES-day-trading.” We estimate NASDAQ and NYSE informed-trade losses and gains to market makers and other liquidity providers on six trade sizes, and find that losses on trades we ascribe to SOES day traders were substantially greater than those on other trades, offset somewhat by gains from small-trade-size investors. NASDAQ market makers' response to these losses and additional operations costs incurred to reduce the losses resulted in greater RES and increased trading within the best quotes, predominantly on larger trade sizes. The data are consistent with the “SOES-day-trading” hypotheses, but not with the other two. Furthermore, the mandatory SOES “experiment” provides insights into the negative effects of automated trading systems (such as ECNs, which now dominate NASDAQ) when their design does not adequately consider opportunistic traders.     

Insider Trading in the OTC Market

In this paper, we examine the profitability of insider trading in firms whose securities trade in the OTC/NASDAQ market. Although the evidence suggests timing and forecasting ability on the part of insiders, high transaction costs (especially bid-ask spreads) appear to eliminate the potential for positive abnormal returns from active trading. By implication, outside investors who mimic the trading of insiders are also precluded from earning abnormal profits. In addition, we provide evidence on the determinants of insiders' profits. The data suggest that insiders closer to the firm trade on more valuable information than insiders removed from the firm.     

Trade size clustering and the cost of trading at the London Stock Exchange

For the London Stock Exchange, this paper investigates differences in trading costs between market maker (off-book) and order book trades, in the context of clustering in trade sizes and prices. We report several substantial findings. Even after controlling for differences in trade size, the realised spread measure is lower for off-book trades. For the order book, trade size clustering is not associated with differences in transaction costs nor with differences in the information content of trades. For the off-book market, trades in clustered (popular) sizes carry significantly more information than non-clustered trades. Despite the significant differences in the price impact estimates between the order book and off-book, we show that traders placing large orders off-book are still better off than trading via the order book as they benefit from a large discount from the current midpoint price. Additionally, we highlight that price and size clustering tend to occur simultaneously rather than being substitutes in this market setting.     

IQ,trading behavior,and performance

We analyze whether IQ influences trading behavior, performance, and transaction costs. The analysis combines equity return, trade, and limit order book data with two decades of scores from an intelligence (IQ) test administered to nearly every Finnish male of draft age. Controlling for a variety of factors, we find that high-IQ investors are less subject to the disposition effect, more aggressive about tax-loss trading, and more likely to supply liquidity when stocks experience a one-month high. High-IQ investors also exhibit superior market timing, stock-picking skill, and trade execution.     

Information shares of two parallel currency options markets: Trading costs versus transparency/tradability

This paper studies whether trading costs or transparency/tradability are more important to price discovery using a unique dataset of currency options that trade simultaneously in two parallel markets. The Over-The-Counter (OTC) market is characterized by sophisticated investors, low trading costs, and low transparency/tradability compared to the Tel-Aviv Stock Exchange (TASE). Pricing errors are much larger on the TASE and the information share of the OTC market is significantly larger than that of the TASE by various information share measures, showing that trading costs and trader type have a first-order effect on price discovery while transparency/tradability have a second-order effect.     

Brokered versus dealer markets: Impact of proprietary trading with transaction fees

In this study, we consider a one-period financial market with a dealer/broker and an infinite number of investors. While the dealer who trades on his own account (with proprietary trading) simultaneously sets both the transaction fee and the asset price, the broker who brings investors' orders to the market (with no proprietary trading) sets only the transaction fee, given that the price is determined according to the market-clearing condition among investors. We analyze the impact of proprietary trading on the asset price, transaction fee, trading volume, and the welfare of investors. We find that the bid and ask prices set by the dealer who can engage in proprietary trading are more favorable to average investors. As a result, both the trading volume and the transaction fee increase, and social welfare improves.     

The Interim Trading Skills of Institutional Investors

Using a large proprietary database of institutional trades, this paper examines the interim (intraquarter) trading skills of institutional investors. We find strong evidence that institutional investors earn significant abnormal returns on their trades within the trading quarter and that interim trading performance is persistent. After transactions costs, our estimates suggest that interim trading skills contribute between 20 and 26 basis points per year to the average fund's abnormal performance. Our findings also indicate that any trading skills documented by previous studies that use quarterly data are biased downwards because of their inability to account for interim trades.     

Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions

I apply the bivariate Autoregressive Conditional Duration model of Engle and Lunde [2003. Trade and quotes: a bivariate point process. Journal of Financial Econometrics 1, 159–188] to stock and option market transactions. The first model uses option trades and stock trades. Shocks to option trade/option trade durations have a significant impact on option trade/stock trade durations. Higher implied volatility, larger stock and option market order imbalances, larger stock trades, larger spreads, smaller depths in the stock market and faster trading in the stock and option markets are all associated with faster trading in both markets. In the second model, option trade/option trade timing leads option trade/stock quote timing and several information-related stock and option market covariates impact the expected inter-market event durations.     

Institutional Equity Trading Costs: NYSE Versus Nasdaq

We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market's area of specialization. Controlling for firm size, trade size, and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period.     

Corporate Bond Trading Costs: A Peek Behind the Curtain

In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over-the-counter bond market. I find average round-trip trading costs to be about $0.27 per $100 of par value. Trading costs are lower for larger trades. Small institutions pay more to trade than large institutions, all else being equal. Small bond dealers charge more than large ones. I find no evidence that trading costs more for lower-rated bonds.     

Option trading and individual investor performance

This paper examines the impact of option trading on individual investor performance. The results show that most investors incur substantial losses on their option investments, which are much larger than the losses from equity trading. We attribute the detrimental impact of option trading on investor performance to poor market timing that results from overreaction to past stock market returns. High trading costs further contribute to the poor returns on option investments. Gambling and entertainment appear to be the most important motivations for trading options while hedging motives only play a minor role. We also provide strong evidence of performance persistence among option traders.     

Dynamic Volatility Trading Strategies in the Currency Option Market

The conditional volatility of foreign exchange rates can be predicted using GARCH models or implied volatility extracted from currency options. This paper investigates whether these predictions are economically meaningful in trading strategies that are designed only to trade volatility risk. First, this article provides new evidence on the issue of information content of implied volatility and GARCH volatility in forecasting future variance. In an artificial world without transaction costs both delta-neutral and straddle trading stratgies lead to significant positive profits, regardless of which volatility prediction method is used. Specifically, the agent using the Implied Stochastic Volatility Regression method (ISVR) earns larger profits than the agent using the GARCH method. Second, it suggests that the currency options market is informationally efficient. After accounting for transaction costs, which are assumed to equal one percent of option prices, observed profits are not significantly differentfrom zero in most trading strategies. Finally, these strategies offered returns have higher Sharpe ratio and lower correlation with several major asset classes. Consequently, hedge funds and institutional investors who are seeking alternative “marketneutral” investment methods can use volatility trading to improvethe risk-return profile of their portfolio through diversification. This revised version was published online in November 2006 with corrections to the Cover Date.