Brokers' financial network and stock return

Hongwei Chuang

doi:10.1016/j.najef.2016.01.001

Brokers' financial network and stock return

Hongwei Chuang

経済学研究科

研究成果: Article › 査読

1 被引用数 (Scopus)

抄録

Brokerage firms are usually not only known for trading stocks for their retail clients in return for commission fee but also known for being information distributors of their clients' investment recommenders. However, only a few studies have examined investors' trading behaviors within a brokerage firm. This study proposes a financial network model in modeling the information diffusion process of investors within brokerage firms and investigates the potential effect of interconnectedness among brokerage firms on stock returns. We find that the centrality of brokerage firms has strong explanatory power to stock returns even if we control for the Fama-French pricing factors and other characteristics of stock.

本文言語	English
ページ（範囲）	172-183
ページ数	12
ジャーナル	North American Journal of Economics and Finance
巻	36
DOI	https://doi.org/10.1016/j.najef.2016.01.001
出版ステータス	Published - 2016 4月 1

ASJC Scopus subject areas

財務
経済学、計量経済学

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10.1016/j.najef.2016.01.001

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abstract = "Brokerage firms are usually not only known for trading stocks for their retail clients in return for commission fee but also known for being information distributors of their clients' investment recommenders. However, only a few studies have examined investors' trading behaviors within a brokerage firm. This study proposes a financial network model in modeling the information diffusion process of investors within brokerage firms and investigates the potential effect of interconnectedness among brokerage firms on stock returns. We find that the centrality of brokerage firms has strong explanatory power to stock returns even if we control for the Fama-French pricing factors and other characteristics of stock.",

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KW - Granger causality

KW - Information diffusion

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Brokers' financial network and stock return

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