投資人網路之研究

Abstract

本論文旨在經由投資人網路結構來探討資訊傳播的效果。藉由2005年至2014年期間的投資人特殊交易帳戶資料，我們能從網路結構中得出公司資訊傳播的集中程度。分析此網路結構，我們從中發現處於網路中心位置的投資人能獲得較大的超額報酬；相對而言，處於網路邊緣的投資人，資訊獲得的時間往往處於落後地位，較沒有賺取超額報酬的能力。除此之外，本研究採用公司併購事件當中範例去作分析，我們發現處於網路中心位置的投資人也同時具有獲得公開與私密資訊的能力。最重要的是，本論文發現網路結構越集中的公司(代表公司的股票有很高比例被處於網路中心位置的投資人持有)往往價格傳播會越有效率，而且相較於網路結構分散的公司價格延遲的風險貼水也會較小。綜合來說，此實證結果說明投資人網路能加速將資訊納入資產價格內，同時資訊傳播的效率也會給股票報酬帶來顯著的影響。

In this study, we examine the information diffusion of firms in investor networks. Using a unique investor account-level dataset from the Taiwan Stock Exchange from 2005 to 2014, we identify the information diffusion of firms as their centralization in investor networks. Consistent with the theory of investor information networks, we find that central investors trade earlier and are more profitable than peripheral investors. Furthermore, they have greater access to superior, private information based on actual M&A and earnings announcement events. More importantly, we find that centralized firms (i.e., firms with more central investors’ networks) experience less delay in prices, and therefore demand lower price delay premiums than peripheral firms. These results suggest that investor networks speed up the incorporation of new information into asset prices, and cause the strength of information diffusion to have a great impact on stock returns.