| 交易纪律和私有信息对机构投资者超额报酬的影响 |
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| 引用本文：林苍祥，乔帅，郑振龙，许慧卿.交易纪律和私有信息对机构投资者超额报酬的影响[J].财经理论与实践,2016,(5):50-56 |
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| 中文摘要:依据台湾股指期权成交档、委托档和持仓档等日內数据，参考Fishe and Smith (2012) 方法识别出获得超额报酬的外资和本土机构投资者，对应的比例分别为50.6%和44.9%。考量获得超额报酬的来源，结果发现：外资和本土投资者确实拥有私有信息；交易纪律对机构投资者的绩效有显著的影响，外资和本土机构投资者中分别有78.3%和69.6%的超额报酬得益于交易纪律；交易纪律和投资者的信息优势存在交叉效应的影响。 |
| 中文关键词:台指期权 超额报酬 交易纪律 私有信息 |
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| The Impact of Trade Discipline and Private Information on Institutional Investors' Extra Return |
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| Abstract:This paper follows the approach of Fishe and Smith (2012) to identify investors with extra return among foreign and domestic institutional investors using the trade book, order book and open interest data of TAIEX options, and the corresponding proportions of investors with extra return are 50.6% and 44.9% for foreign and domestic institutional investors, respectively. This paper further investigates the sources of extra return and find that first, those foreign and domestic institutional investors identified above mentioned do have private information; second, trade discipline has a significant effect on the performance of institutional investors, and those with extra return also benefits from trade discipline accounts for 78.3% and 69.6% of foreign and domestic institutional investors, respectively；third, there is cross-effect between investors' trade discipline and their information advantage. |
| keywords:TAIEX Options extra return trade discipline private information |
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