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原文：Bradley D, Hanousek J, Jame R, et al. Place Your Bets? The Value of Investment Research on Reddit’s Wallstreetbets[J]. The Review of Financial Studies, 2024
Place Your Bets?The Value of Investment Research on Reddit’s Wallstreetbets
ABSTRACT: We examine the value of due diligence recommendations on Reddit’s Wallstreetbets (WSB) platform. Before the Gamestop (GME) short squeeze, recommendations are significant predictors of returns and cash-flow news. This predictability is eliminated post-GME. Post-GME, the fraction of reports emphasizing price-pressure or attention-grabbing stocks dramatically increases, and the decline in informativeness is concentrated in these reports. Similarly, retail trade informativeness is particularly strong following DD reports in the pre-GME period, but not post-GME. Our findings are consistent with the view that the Gamestop event altered the culture of WSB, leading to a deterioration in investment quality that adversely affected smaller investors.
Reddit的Wallstreetbets论坛的“研究报告”的价值
摘要：本文检验了线上社区Reddit Wallstreetbets(WSB)中“分析报告推荐”（DD Report）的价值。研究发现，在游戏驿站（GME）轧空事件发生前，这些推荐能有效预测股票收益和现金流新闻。但GME事件发生后，DD Report的预测能力下降。主要原因是DD Report的内容更关注价格压力和高关注度股票，导致报告的信息含量下降。由此，散户交易的信息含量随着GME事件的发生而下降。本文认为，GME事件改变了WSB社区的投资氛围，导致投资质量恶化，对中小投资者产生不利影响。
亮点：（1）现有文献关注了专业投资者线上社区的发帖的信息含量，本质上是分析师市场的延伸，而本文则聚焦于“非专业”投资者的线上社区中发布的类似于分析师报告的发帖，并证明了此类业余投资者的研究报告同样具有价值；（2）本文对比了专业投资者和业余投资者线上社区中文章的信息价值差异，以及游戏驿站事件前后，WSB社区发帖内容的变化和投资价值的差异，展现了业余投资者行为的动态变化；（3）WSB的崛起改变了生产和传播投资信息的方式。创造具有投资价值的信息不再是专业机构和群体的专利，资本市场的研究分析趋向民主化。散户可以低廉的成本获取有用的投资信息，并成为影响市场的重要力量。
02
原文：Cen X. Smartphone Trading Technology, Investor Behavior, and Mutual Fund Performance[J]. Management Science, 2023
Smartphone Trading Technology, Investor Behavior, and Mutual Fund Performance
ABSTRACT: This study investigates how smartphone trading technology affects retail investor behavior and mutual fund performance using proprietary individual-level trading data around a natural experiment—the release of a smartphone trading app by a large investment adviser. App adoption raises investor attention and trading volume through amplifying cognitive biases such as self-control problems and overconfidence. The technology shock increases investors’ flow sensitivity to short-term fund returns and market sentiment, and boosts the aggregate flows of app adopters. The funds more exposed to the shock see a greater decline in abnormal returns, which is likely attributed to higher fund flows and liquidity costs. Overall, the findings suggest investors’ adoption of smartphone trading technology can create negative externalities to other investors holding the same funds.
摘要：本文利用账户级数据，基于大型投资顾问公司发布手机证券交易app的场景，构建准自然实验，研究移动终端交易技术如何影响散户投资者行为，又如何影响基金业绩表现？研究发现，App使用加剧了个人投资者的认知偏差（例如：自制力不足和过度自信），从而增加了投资者关注度和交易量。技术冲击提高了投资者现金流对短期基金回报率和市场情绪的敏感度，增加了投资金额。受冲击影响越大的基金，异常收益率下降越多，主要原因可能是更高的基金流量和流动性成本。总体而言，研究表明智能手机交易技术的影响会对其它持有相同基金的投资者造成负外部性。
亮点：（1）数据独特，颗粒度细。本文使用了中国某线上基金交易龙头的账户级数据，使得本文可以进行大量的深入的实证分析；（2）分析链条逻辑严密。文章首先检验了线上交易对投资者行为的影响，而后，进一步探讨了行为的改变对基金业绩的影响。
03
原文：Bryzgalova S, Pavlova A, Sikorskaya T. Retail Trading in Options and the Rise of the Big Three Wholesalers[J]. Journal of Finance, 2023, 78(6): 3465-3514
Retail Trading in Options and the Rise of the Big Three Wholesalers
ABSTRACT: We document a rapid increase in retail trading in options in the United States. Facilitated by payment for order flow (PFOF) from wholesalers executing retail orders, retail trading recently reached over 60% of total market volume. Nearly 90% of PFOF comes from three wholesalers. Exploiting new flags in transaction-level data, we isolate wholesaler trades and build a novel measure of retail options trading. Our measure comoves with equity-based retail activity proxies and drops significantly during U.S. brokerage platform outages and trading restrictions. Retail investors prefer cheaper, weekly options with average bid-ask spread of 12.6%, and lose money on average.
散户期权交易和三大供应商崛起
摘要：本文展现了美国期权市场上散户投资者的快速崛起。券商通过向执行期权的批发商提供散户订单，获取订单流费用。受这一刺激，散户的期权交易量激增，一度达到市场总量的60%多。接近90%多的订单流费用由三大批发商提供。利用全新标记的市场交易数据，本文从批发商交易数据中剥离出了散户交易，并构建了新的散户期权交易度量指标。本文的散户期权交易指标与股票市场散户投资活动的代理变量有相同的波动规律，散户期权交易在美国券商平台中断和交易限制期间显著下降。散户投资者偏好便宜的、到期日一周以内的期权。这些期权的平均买卖差价为12.6%。平均而言，散户在这类期权上的投资通常是亏损的。
亮点：（1）本文构建了新的散户投资者行为的代理变量；（2）深化了期权市场微观结构的研究，以及市场流动性方面的研究。现有研究没有关注期权市场的散户投资者。本文的数据集亦非首次使用。之前的研究将OPRA数据用于构建Wholesaler的交易指标，而作者巧妙使用这一数据，构建散户投资者指标，直指市场流动性的源头。从而为研究当前市场、监管都十分关注的散户投资者活动提供了可能。
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总编：游家兴
解析：孙经纬
审校：朱书谊 李文卓
编辑：潘芳妍
