투자자 정보, 군집행위와 투자 전략 = Article : Investor Information, Herding and Strategies

국문 초록 (Abstract)

본 연구에서는 정보 우위에 있다고 인식되는 투자자들이 실현하는 투자 성과가 우월한 정보에만 근거한 것인지를 이론적으로 고찰하였다. 이들에 대한 믿음이 시장에 존재하여 다른 투자자들이 이들을 추종하면 이들은 추가적인 투자 수익을 실현할 수 있고, 이는 특히 잡음거래자의 군집행위가 가세할 때 확대된다. 이들은 투자 수익을 극대화하기 위하여 다른 투자자들의 추종 및 군집행위 가능성까지 감안하는 전략적 매매 행태를 보일 수 있는데, 이 과정에서 이들은 정보 우위에 기인한 몫 이상의 초과 수익을 달성할 수 있고 반면 이들을 추종하는 투자자들의 투자 성과는 악화될 수 있다. 장기적인 균형에 이르면 두 정보거래자 사이의 투자 성과의 왜곡은 사라지지만 그 균형에 이르기 전까지는 주가 및 투자 성과의 왜곡이 중장기적으로 또 다양하게 존재할 수 있다. 본 연구에서는 보다 정확한 정보를 가진 정보거래자의 정보 우위가 결정적이 아니라 확률적으로 존재하고 또 잡음거래자들의 군집행위도 일정한 확률로서 존재할 때의 균형을 고찰함으로써 선행연구의 제약을 완화하여 보다 일반적인 모형을 정립하였다. 마지막으로 한국 주식시장 데이터를 본 연구와 연계하여 본 연구 결과가 한국 주식시장에 함의하는 바를 제시하였다.

다국어 초록 (Multilingual Abstract)

Investors are usually classified into two types in market microstructure or behavioral finance: informed traders and noise traders. This dichotomy is convenient but not very realistic. For instance, not all informed traders are homogeneous in terms of the accuracy of and/or the arrival time of information. Consequently, some investors such as Warren Buffet are considered more informed and some less informed. Furthermore, numerous market microstructure papers examine market makers` quoting behavior in a quote-driven market only. As a matter of fact, in the world, there are more order-driven markets including Japan, France, Germany and Korea than quote-driven markets. Given these inconsistencies and limits in current studies, we examine how a (representative) more informed trader achieves an extra profit and whether the profit comes solely from his superior information in an order-driven market, where a more and a less informed trader and noise traders coexist in the market. Specifically, we make two assumptions about the superior information of the more informed and the herd behavior of noise traders. First, the more informed does not always get the perfect information but does so with probability δ. Second, noise traders herd not always but with probability ρ when the stock price hits a critical point. Given these, the less informed has an incentive to follow the more informed because of an information externality. In addition, noise traders more likely herd when the two informed traders move in the same direction. It turns out that the more informed has an incentive to cheat the less informed when it is in his interest. At first, the less informed falls victim to the more informed but over time he gets to learn about the cheating of the more informed. When the more informed successfully cheats the less informed, the profit of the former gets larger than he deserves and that of the latter gets smaller than he should have. Eventually, however, an equilibrium is reached, where the more and the less informed believe each other not always but with a positive probability only. And there does not exist any further extra profit for the more informed in equilibrium. Finally, we show the Korean stock market data on how much profit foreigners as a whole have made relative to the market since 1992. Given the stylized fact that any informed trader can hardly continue to beat the market, foreign investors in the Korean market seemingly have made more than they might deserve. We discuss what this might mean regarding their superior information and possible cheating, and Korean investors` belief in them and possible herding.

참고문헌 (Reference)

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