Who Falls Prey to the Wolf of Wall Street? Investor Participation in Market Manipulation
Management Science · 2026 · Christian Leuz、Steffen Meyer、Maximilian Muhn、Eugene Soltes、Andreas Hackethal
中文摘要
所谓“拉高出货”骗局造成的价格扭曲已有充分文献记载，但人们对这些骗局中的投资者却知之甚少。通过考察470起拉高出货骗局以及来自德国一家大型银行、涵盖逾11万名个人投资者交易记录的大型数据集，我们提供了关于参与率、投资规模、损失以及投资于此类骗局的个人特征的全面证据。参与相当普遍，近8%的活跃散户投资者至少参与过一起拉高出货骗局，平均损失近30%。我们识别出若干不同类型的参与投资者，其中一些（例如投机性日内交易者）不应被视为落入骗局的受害者。我们还表明，投资组合构成和过往交易行为比人口统计特征更能解释骗局参与。最后，我们记录了参与投资者除直接财务损失之外更持久的效应。我们的分析强调，对拉高出货骗局的有效监管应对需要理解谁投资于此类骗局以及为何投资，因为例如并非所有投资者都可能因传统监管披露而被劝退投资。本文由会计学领域编辑Eric So接受。资助：本工作得到芝加哥大学Clark全球市场中心和丹麦金融研究院的支持。补充材料：网络附录和数据文件可在 https://doi.org/10.1287/mnsc.2023.03181 获取。
Abstract
Price distortions created by so-called “pump-and-dump” schemes are well documented, but relatively little is known about the investors in these schemes. By examining 470 pump-and-dump schemes and a large data set of trading records for over 110,000 individual investors from a major German bank, we provide comprehensive evidence on the participation rate, the magnitude of the investments, the losses, and the characteristics of the individuals who invest in such schemes. Participation is quite common, with nearly 8% of active retail investors participating in at least one pump-and-dump losing on average nearly 30%. We identify several distinct types of participating investors, some of which (e.g., speculating day trader) should not be viewed as falling prey to the schemes. We also show that portfolio composition and past trading behavior better explain scheme participation than demographics. Last, we document longer-lasting effects on participating investors beyond their immediate financial losses. Our analysis highlights that an effective regulatory response to pump-and-dump schemes requires understanding who invests in such schemes and why, as, for instance, not all investors are likely to be dissuaded from investing by traditional regulatory disclosures. This paper was accepted by Eric So, accounting. Funding: This work was supported by the Clark Center for Global Markets at the University of Chicago and the Danish Finance Institute. Supplemental Material: The internet appendix and data files are available at https://doi.org/10.1287/mnsc.2023.03181 .