Informed Trading in Business Groups
利用哥伦比亚的完整交易记录，研究发现企业集团附属的资产管理人交易表现优于非附属管理人，月均超额收益0.85%，表明其利用了集团内部私有信息。
Abstract Business groups, which are collections of legally independent companies with a significant amount of common ownership, dominate private sector activity in developing countries. This paper studies information flows within these groups by examining the trading performance of institutional investors in firms that belong to the same group. Using a novel dataset with complete transaction records in Colombia, this paper estimates the difference in returns between trades of asset managers in group-affiliated companies and trades of non-affiliated managers in the same stocks during the same period. The data show that affiliated managers display superior timing ability and that their trades outperform those of non-affiliated managers by 0.85 percent per month. The evidence suggests that institutional investors with group affiliation access information that is only available to members of the group. In order to limit the use of private information, financial authorities might need to expand their disclosure rules to monitor the trades of group-affiliated investors.