We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks' topology. Most importantly, our...

According to information theory, central agents are better informed. Thus to gain higher returns, investors are motivated to seek connections. At the same time, previous studies provide evidence on homophily in social networks: individuals tend to establish relationships with the alike to...