Individual Investors and Broker Types
研究了通过折扣经纪商和全服务经纪商进行的个人投资者交易的信息含量差异，发现全服务经纪商的交易在统计和经济上更具信息性，且经纪商类型选择偏差是研究个人投资者交易的重要考量。
Abstract We study the informativeness of trades via discount and full-service retail brokers. We find that trades via full-service retail brokers are statistically and economically more informative than are trades via discount retail brokers. This finding holds in every year over the 12-year sample period and in various subsamples. We also find that past returns, volatility, and news announcements positively relate to the net volume of discount retail brokers, but these variables are unrelated to the net volume of full-service retail brokers. Our results suggest that broker type selection bias is an important consideration in studying individual investors’ trades.