Strategic Informed Trades, Diversification, and Expected Returns.

Strategic Informed Trades, Diversification, and Expected Returns.
TAR(2015)

Caskey, Judson
Hughes, John S.
Liu, Jun

这咋会是篇会计论文的？Finance和Econ更合适啊。
人们Strategic Trade对宏观经济的影响。Modeling Paper。
简介都看不懂。484在说那一小撮informed investors其实对市场expected returns and risk premium其实没啥影响？


We examine how strategic trade affects expected returns in a large economy. In our model, both a monopolist (strategic) informed trader and uninformed traders consider the impact of their demands on prices. In contrast to settings with price-taking traders, private information never eliminates a priced risk, and can lead to higher risk premiums. Also unlike settings with price-taking informed traders, risk premiums decrease in response to an increase in liquidity-motivated trades in diversified portfolios. These differing effects arise because a privately informed strategic trader conceals her trades by taking small positions relative to the magnitude of noise trades. Although prices partially reveal her information and reduce uncertainty, a concomitant decrease in her risk absorption dominates and leads to higher risk premiums. Similar to settings with price-taking traders, private information affects expected returns only via factor loadings and risk premiums on existing payoff risks--it introduces no new priced risks, and factor loadings (betas) explain all cross-sectional differences in expected returns.