Correlated Trading and Location
利用中国个人经纪账户的独特数据，发现投资者地理位置与交易行为高度相关，居住在公司总部附近的投资者对公共信息反应相似，支持异质信息投资者的理性预期模型。
ABSTRACT This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our results are consistent with a simple, rational expectations model of heterogeneously informed investors.