Informed Trading and Portfolio Returns
研究多资产长期信息下的策略交易模型，利用纽交所非公开数据检验机构订单流与投资组合收益的领先滞后关系，发现知情订单流正向预测未来收益和未来知情订单流，且同行业资产组合中关系更强。
We solve a multi-period model of strategic trading with long-lived information in multiple assets with correlated innovations in fundamental values. Market makers in each asset can only condition their pricing functions on trading in each asset. Using daily non-public data from the New York Stock Exchange, we test the model's predictions on the conditional and unconditional lead--lag relations of institutional order flow and returns within portfolios. We find support for the model prediction of positive autocorrelations in portfolio returns as well as the predictions for how informed order flow positively predicts future returns and future informed order flow. We show that these relations strengthen for portfolios formed from assets within the same industry, which likely have higher correlation of fundamental values. Furthermore, we discuss issues that arise when testing implications of strategic models with imperfect proxies for the underlying strategic behaviour. Copyright , Oxford University Press.