讲座题目：Holding Behavior of Large and Small Investors in the Presence of Large Investor Premium
主讲人：徐玉红 研究员
主持人：危佳钦 教授
开始时间：2024-12-06 13:30
讲座地址：普陀校区理科大楼A1514
主办单位：统计学院
报告人简介：
徐玉红，苏州大学正高职研究员，博士生导师，仲英青年学者。师从国际著名金融数学家彭实戈院士。先后在法国西布列塔尼大学(博士后)、新加坡国立大学(研究员)、香港大学、香港理工等学校访问工作。长期从事金融工程与科技方面的研究，研究结果在《Mathematical Finance》、《Management Science》、《Quantitative Finance》、《North American Journal of Economics and Finance》等杂志发表。任中国运筹学会金融工程与风险管理分会第三、四届常务理事、中国优选法统筹法与经济数学研究会量化金融与保险分会第一、二届理事、全国工业统计研究会金融科技与大数据分会第一届理事、中国工业与应用数学协会金融工程分会青年组委员、金融数学与数据处理年会程序委员。先后主持国家自然科学基金3项、江苏省自然科学基金2项。
报告内容：
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.
