合格境外机构投资者(QFII)监管模式的转变:从事前监管到事后监管

合格境外机构投资者是我国引入的一项证券市场开放前的过渡性制度.随着人民币国际化的发展,合格境外机构投资者事前监管制度显现出一些弊端.本文结合印度、韩国和我国台湾地区等新兴市场经济体事后监管制度的经验,论证了我国合格境外机构投资者的监管模式亟待从事前监管转向事后监管,并建立有效的事后监管机制.     

机构投资者与资本市场波动

本文对机构投资者如何引起和加剧金融市场波动的原因进行了分析,这些原因既有机构投资者自身的投资行为方面的,也有委托-代理问题所引起的,还有由投资者推动的,以及由监管和制度设计方面的缺陷所造成的问题。本文还对国际机构投资者投资新兴市场所引起的金融动荡进行了分析,并对如何引导机构投资者向有利于金融市场稳定的方向发展提出了建议。     

论中国机构投资者监管的制度选择

本文系统分析了“超常规发展机构投资者”政策的制度性缺陷，提出政府应改进机构投资者的监管机制，以机构投资者的结构和质量实现证券市场宏观调控制度与微观市场结构的渗透和整合，对机构投资者的全面发展及证券市场功能的有效发挥产生“市场增进”作用。     

QDII影响几何？

QDII是一种经政府认可的投资机构，任何欲往海外进行投资的本国投资者，均必须通过上述机构进行。QDII制度是在资本项目未完全开放的情况下，本地投资者投资海外市场，政府通过资格认证进行监管的一种制度安排。[编者按]     

私募基金的信托化运作之探析

私募基金在我国处于萌芽发展阶段,而信托化运作是发展私募基金的一种尝试方式。我国目前私募基金的信托化运作主要通过集合资金信托计划的方式进行,这一制度在信息披露、监管等方面存在许多问题,既不利于保护投资者利益,也不利于监管机构控制市场风险,私募基金的优势得不到有效的发挥。因此,针对私募基金发展的过渡期特点,应当从保护投资者利益,方便监管机构控制市场风险的角度出发,从信息披露制度、监管制度入手来完善我国私募基金信托制度。     

境外金融产品投资中的客户适当性制度比较

作为投资者保护的重要内容,境外金融立法中均要求市场中介机构履行审慎选择客户的义务,将适当的产品销售给适当的客户。通过借鉴境外相关的立法及监管经验,结合我国目前证券期货市场正在建立的投资者适当性制度,本文提出了监管机构应从投资者保护的角度,通过强制性制度变迁,立足于树立中介机构理性选择客户的理念,建立适合我国国情的合格投资者制度。     

境外高频交易监管制度对我国期货市场监管的启示——基于经济和技术手段的视角

高频交易是近年来国内期货市场兴起的新型交易方式,该方式有利于期货市场功能发挥,但过度的高频交易则会误导市场,损害投资者利益。加强对高频交易的规范和监管对提高期货市场运行效率、保护投资者利益具有重要意义。本文以美国和欧盟为例,梳理了境外监管机构对高频交易的监管要求,并从监管的经济手段和技术手段出发,对监管制度进行了评价。其中,经济手段主要包括高频交易量比率、订单成交比、加权交易量比率等及其分类收费制度等;技术手段则包括增加减速带、要求订单驻留时间等措施。在此基础上,对国内监管机构针对高频交易的规范和监管提出了政策建议。     

试论我国机构投资股东发展的制度约束

我国机构投资股东历时短、数量少、规模小、入市资金有限、参与公司治理经验匮乏,至今仍有不少机构投资者受准人制度限制被排斥在股市之外。机构投资股东发展缓慢及其行为出现偏差,根源在于之相关的正式约束、非正式约束的制度实施机制等方面的安排不合理、制度供需之间严重失衡。只有针对具体的制度安排约束,进行有的放矢的制度变迁,我国的机构投资股东才能获得健康发展。     

激励相容信息披露制度设计——一个理论框架与现实分析

信息披露是投资者了解上市公司、证券监管机构监管上市公司的主要途径,信息披露制度是各国证券法律制度的重要内容.针对当前我国证券市场中上市公司虚假信息披露案件频发,本着保护中小投资者利益为目的,本文从激励相容信息披露制度设计的理论模型角度出发,分析了影响信息披露质量的各种变量,并以各个变量为基础得出模型对我国证券市场信息监管实践的启示,从而指出要完善我国证券市场信息披露监管制度,必须从立法、加大惩罚力度等各方面加强监管.     

激励相容信息披露制度设计——一个理论框架与现实分析

信息披露是投资者了解上市公司、证券监管机构监管上市公司的主要途径,信息披露制度是各国证券法律制度的重要内容。针对当前我国证券市场中上市公司虚假信息披露案件频发,本着保护中小投资者利益为目的,本文从激励相容信息披露制度设计的理论模型角度出发,分析了影响信息披露质量的各种变量,并以各个变量为基础得出模型对我国证券市场信息监管实践的启示,从而指出要完善我国证券市场信息披露监管制度,必须从立法、加大惩罚力度等各方面加强监管。     

Institutional investment in online business lending markets

We provide new insights into the business lending decisions of institutional investors in online credit markets by benchmarking their lending performance against that of retail investors.We find superior performance for loans financed by institutional investors, although large sized retail investor groups achieve equivalent performance. Lending decisions of institutional investors are not default risk minimising, and we quantify lending inefficiencies. From a platform perspective, we show that (i) the platform-administered loan allocation process is not biased in favour of institutional investors, (ii) institutional participation in the retail marketplace is not a distorting factor in loan performance, and (iii) the platform’s move to a fixed rate system had detrimental effects on loan outcomes for institutional investors. The superior loan performance achieved by institutional investors is confined to the auction period, when institutional investors had autonomy over setting interest rates.     

Who is the more overconfident trader? Individual vs. institutional investors

Guided by the Gervais and Odean (2001) overconfident trading hypothesis, we comprehensively investigate the trading behavior of individual vs. institutional investors in Taiwan in an attempt to identify who is the more overconfident trader. Conditional on the various states of the market, on market volatility, and on the risk level of the securities they trade, we find that both individual and institutional investors trade more aggressively following market gains in bull markets, in up-market states, in up-momentum market states, and in low-volatility market states and that only individual investors trade more in riskier securities following market gains. More importantly, we find that individual investors trade more aggressively following market gains in the three conditional states of the market and in high-volatility market states than institutional investors. Also, individual investors trade more in relatively riskier securities following gains than institutional investors. These findings provide evidence that individual investors are more overconfident traders than institutional investors.     

机构投资者能抑制上市公司商誉减值风险吗？——基于中国A股市场的经验证据

巨额商誉减值风险是资本市场系统性风险的重要诱因之一。本文以2011—2018年中国A股上市公司为样本,检验机构投资者持股对上市公司商誉减值风险的影响。研究发现,机构投资者持股能够显著抑制上市公司计提商誉减值的风险。分类来看,相比非独立机构投资者,以证券投资基金、社保基金及QFII为代表的独立性机构投资者持股对商誉减值风险的抑制作用更显著。机制检验发现,机构投资者通过提供并购前咨询服务和改善公司并购后绩效来抑制商誉减值风险。本文研究揭示了机构投资者发挥了有效的监督治理功能,对防范商誉减值风险具有一定的启示意义。     

Institutional Investors and Firm Efficiency of Real Estate Investment Trusts

This study investigates the effect of institutional ownership on improving firm efficiency of equity Real Estate Investment Trusts (REITs), using a stochastic frontier approach. Firm inefficiency is estimated by comparing a benchmark Tobin??s Q of a hypothetical value-maximizing firm to the firm??s actual Q. We find that the average inefficiency of equity REITs is around 45.5%, and that institutional ownership can improve the firm??s corporate governance, and hence reduce firm inefficiency. Moreover, we highlight the importance of heterogeneity in institutional investors??certain types of institutional investors such as long-term, active, and top-five institutional investors, and investment advisors are more effective institutional investors in reducing firm inefficiency; whereas hedge funds and pension funds seem to aggravate the problem. In sub-sample analysis, we find that these effective institutional investors can reduce inefficiency more effectively for distressed REITs, and for REITs with high information asymmetry, and with longer term lease contracts. Lastly, we find that the negative impact of institutional ownership (except for long-term institutional investors) on firm inefficiency reduces over time, possibly due to strengthened corporate governance and regulatory environment in the REIT industry.     

Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors’ net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.     

监督抑或跟随：机构投资者治理角色研究——来自舞弊公司机构持股行为的经验证据

文章利用被中国证券监管部门处罚的舞弊公司及未舞弊公司为对象,考察机构投资者在公司治理中是扮演监督者还是跟随者角色。研究发现,从公司舞弊前一季度到后一季度机构投资者并未减持舞弊公司股份,不具备舞弊预测与识别能力;机构投资者倾向于利用分析师评级结果进行投资决策;机构投资者容易被舞弊公司误导,而分析师评级则有助于减轻机构投资者被误导程度。结果表明,目前机构投资者更多扮演着跟随分析师的消极角色而非有效监督者的积极角色,分析师评级具有一定的决策有用性。     

内部控制与异质机构持股的治理效应

本文实证检验了不同内部控制水平下,异质机构持股在抑制管理层盈余操纵方面的公司治理效应。研究发现,相比外地或短期机构持股,本地或长期机构持股更有助于提升应计质量和降低盈余噪音;当公司存在实质性内部控制缺陷时,本地或长期机构持股在抑制管理层盈余操纵方面的治理效应显著降低;相比国有控股,异质机构持股治理效应的发挥在非国有控股公司中受内部控制的影响更大;当公司存在财务报告实质性内控缺陷时,异质机构持股发挥的治理效应明显更弱。这些结果表明,异质机构持股治理效应的发挥离不开公司内部控制机制,二者之间是互补而非替代关系,这种互补关系主要由财务报告内部控制缺陷驱动。本研究有助于深化理解异质机构持股影响公司治理的具体作用机理,为实务界和监管机构改善公司治理、加强投资者保护提供经验参考。     

机构投资者与个人投资者过度自信行为比较研究

本文首先基于我国A股市场机构股票持有数据,构建了不同的投资组合来区分机构投资者与个人投资者的投资行为。然后运用Granger因果检验与SUR估计,探讨了我国证券市场机构投资者与个人投资者是否具有过度自信行为,结果表明无论是机构投资者还是个人投资者在不同市场状态下都存在交易过多的过度自信认知偏差。并且我国证券市场上个人投资者与机构投资者的过度自信程度在不同的市场状态下并无明显差异。最后提出了相关政策建议。     

EARNINGS CONFERENCE CALLS AND INSTITUTIONAL MONITORING: EVIDENCE FROM TEXTUAL ANALYSIS

We document the effects of institutional investors on the qualitative information disclosure of firms during earnings conference calls. Using conference call and institutional ownership data between 2005 and 2016, we find that aggregate institutional ownership dampens conference call tone. The effects of institutional investors on tone are causal based on results from indexed firms. Consistent with hypotheses regarding investors' horizons, short-term institutional investors are associated with a more positive conference call tone, as well as more opportunistic trading, whereas long-term investors are associated with a more negative tone. Market participants can generally disentangle the impact of institutional investors on tone based on investor type.     

Do institutional investors have superior stock selection ability in China?

This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China. Controlling for other factors, we find that institutional investors increase (decrease) their shareholdings in stocks that subsequently exhibit positive (negative) short- and long-term cumulative abnormal returns. In contrast, individual investors decrease (increase) their shareholdings in stocks that subsequently exhibit positive (negative) short- and long-term cumulative abnormal returns. These findings indicate that institutional investors have superior stock selection ability in China.