个体沟通、交易行为与信息优势:基于共同基金访问的证据

Communication,Trading Behaviors and Information Advantage:Evidence from Mutual Funds' Visiting on Listed Firms

基于一个来自深交所的独特数据库,本文考察共同基金缘何访问上市公司,以及共同基金是否通过访问获得了信息优势并从中受益。研究发现:第一,共同基金更倾向于访问其持股公司,而公司特征(规模、成长性、业绩与地理位置)、投资者关注度以及盈余质量均显著影响共同基金的访问行为。同时,资产规模较大的基金更倾向于访问上市公司。第二,基金与上市公司的访问交流,显著影响了其交易,进一步,基金基于访问的买卖行为显著预测了上市公司盈余信息和经营业绩。第三,对于投资者关注低的公司,基金可以获得更为显著的信息优势。整体上,本文研究表明,机构投资者可以通过访问上市公司获得信息优势,并做出更好的投资决策,这为社会网络与微观信息传递研究提供了新的证据,也为监管部门在未来的监管力度和方向上提供了清晰的政策借鉴。

Using a unique dataset on communication between mutual funds and listed firms in China＇s stock market, we investigate whether active institutional investors can obtain private information or benefit from their communication with such listed firms. We provide new evidences to social network and the theory of diffusion of market information. We find that： mutual fund managers prefer to visit firms in their holding and with large capitalization, high book-to-market value, good performance, high investor attention, high earning quality, and proximity of location; large and active fund families are more likely to visit listed firms; communication affects subsequent trades of mutual funds; trades of mutual funds which rely on communications significantly predict unexpected earnings and firm performances. Furthermore, our findings are more significant on firms with a low investor attention. Collectively, our results indicate that institutional investors can gain information advantage and make profitable decisions by communicating with firms, which offer clear and significant policy implications.