투자자 정보, 군집행위와 투자 전략

초록

Investors are usually classified into two types in market microstructure or behavioral finance : informed traders and noise traders. This dichotomy is convenient but not very realistic. For instance, not all informed traders are homogeneous in terms of the accuracy of and/or the arrival time of information. Consequently, some investors such as Warren Buffet are considered more informed and some less informed. Furthermore, numerous market microstructure papers examine market makers’ quoting behavior in a quote-driven market only. As a matter of fact, in the world, there are more order-driven markets including Japan, France, Germany and Korea than quote-driven markets. Given these inconsistencies and limits in current studies, we examine how a (representative) more informed trader achieves an extra profit and whether the profit comes solely from his superior information in an order-driven market, where a more and a less informed trader and noise traders coexist in the market. Specifically, we make two assumptions about the superior information of the more informed and the herd behavior of noise traders. First, the more informed does not always get the perfect information but does so with probability. Second, noise traders herd not always but with probability  when the stock price hits a critical point. Given these, the less informed has an incentive to follow the more informed because of an information externality. In addition, noise traders more likely herd when the two informed traders move in the same direction. It turns out that the more informed has an incentive to cheat the less informed when it is in his interest. At first, the less informed falls victim to the more informed but over time he gets to learn about the cheating of the more informed. When the more informed successfully cheats the less informed, the profit of the former gets larger than he deserves and that of the latter gets smaller than he should have. Eventually, however, an equilibrium is reached, where the more and the less informed believe each other not always but with a positive probability only. And there does not exist any further extra profit for the more informed in equilibrium. Finally, we show the Korean stock market data on how much profit foreigners as a whole have made relative to the market since 1992. Given the stylized fact that any informed trader can hardly continue to beat the market, foreign investors in the Korean market seemingly have made more than they might deserve. We discuss what this might mean regarding their superior information and possible cheating, and Korean investors’ belief in them and possible herding.

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