徐玉红，苏州大学正高职研究员，博士生导师，仲英青年学者。师从国际著名金融数学家彭实戈院士。长期从事金融工程与科技方面的研究，研究结果在Mathematical Finance、Management Science、Quantitative Finance、North American Journal of Economics and Finance等杂志发表。任中国运筹学会金融工程与风险管理分会第三、四届常务理事、中国优选法统筹法与经济数学研究会量化金融与保险分会第一、二届理事、全国工业统计研究会金融科技与大数据分会第一届理事、中国工业与应用数学协会金融工程分会青年组委员、金融数学与数据处理年会程序委员。先后主持国家自然科学基金3项、江苏省自然科学基金2项。
We develop a theoretical model to study investors' trading behavior in the presence of large investors' influence on a firm's equity. We show that, for a good stock, large investors tend to invest more heavily than smart small investors, even though they predict the same equity returns. However, the smart small investors obtain more welfare and thus perform as free riders in this economy. Moreover, the analyses are extended to firms with more than one influential large investor. We find that: (i) the large shareholders collude in trading, and each tends to invest more aggressively as other large shareholders do, and (ii) firms with sole ownership can outperform those with dispersed ownership, if the impact coefficient of the former case exceeds or coincides with the aggregated impact coefficients of the latter.
