全球机构投资者概貌分析及对市场开放的相关启示

随着我国银行间债券市场投资端开放的深化,境外机构投资者持有规模显著增长,但类型多元化、交易活跃度、投资策略等方面仍有提升空间。基于各类国际机构对全球投资者的调研情况,本文对全球机构投资者的类别、配置需求、风险偏好等要素进行分析,并提出市场发展与开放的相关启示。     

我国证券市场羊群行为的对策分析

造成我国证券市场羊群行为的原因包括宏观和微观两个层面。本文从宏观和微观两个层面提出抑制羊群行为的相应策略,即培育市场理性与培育理性投资主体两项对策。前者具体包括:完善信息披露制度,使信息发布有利于投资者形成稳定的预期;提高上市公司质量,以改善供求关系;交易成本适度化,提高证券市场的效率;后者具体包括:培育理性投资者和机构投资者,完善基金评价机制,实现证券市场的充分竞争。     

机构持股对股价宏观波动影响的非对称性

本文利用Topview机构投资者日持股数据,构建机构投资者日净买率等指标,使用GMM回归、递归回归,从波动、收益两个角度动态分析机构投资者对股价宏观波动的影响。实证结果表明,机构投资者对股价宏观波动的影响因不同的市场状态而具有非对称性,并可以用信息假说进行解释。管理层应依据不同的市场状态而采取合适的措施以实现机构投资者的稳定作用。     

散户、机构投资者宏微观情绪:互动关系与市场收益

本文采用2006年至2015年十年的数据,使用主成分分析法,分别构建散户和机构投资者情绪变量,并将两类投资者情绪分解为反映宏观因素和微观因素的投资者情绪,通过回归分析、向量自回归、格兰杰因果检验等方法,探究中国资本市场散户和机构投资者情绪的关联性,以及两种投资者情绪对市场收益的影响。实证结果表明,散户投资者对机构投资者情绪具有先导性和传导性的影响;反映微观因素的机构投资者情绪具有"智钱效应",而反映微观因素的散户投资者情绪则存在"愚钱效应";反映宏观因素的机构投资者情绪可以起到市场稳定器作用。     

中国股市行业轮动策略的实证分析

近年来,随着量化投资策略受到我国机构投资者的热捧,优化传统的行业轮动策略成为研究的热点.本文从宏观、估值和技术层面出发,建立合理的指标体系,运用粒子群优化算法和支持向量机建立识别周期-非周期轮动的策略模型.研究结果表明,该策略能够有效获取超额收益.     

基于资产配置角度的主权财富基金投资策略研究

从投资稳健的美国政府养老基金,到四处套利的对冲基金,再到崭露头角的主权财富基金,全球金融市场风云变幻,有影响力的机构投资者轮番上场。主权财富基金作为一支带有一定神秘色彩的机构投资者通过选择不同国家、不同行业以及不同品种的资产进行组合,其投资的整体风险得到进一步的分散。因此本文从资产配置的角度,以主权财富基金发展的特点为基础,围绕全球主权财富基金投资策略的选择进行分析,对中投公司有一定的启示和借鉴意义。     

QFII与国内封闭式证券投资基金交易策略比较研究

本文通过改进的GTW模型,从惯性和反转交易策略的角度对我国证券市场上的合格境外机构投资者与封闭式证券投资基金的交易策略选择进行实证检验,并对实证结果进行动态的比较分析。研究发现,总体上两类机构投资者采取了惯性交易策略,但其内部的个体则在惯性和反转策略上存在较大差异,从而导致了两类机构投资者对稳定市场起到了不同的作用。     

国际对冲基金进入我国的前景及对策研究

对冲基金在东亚金融危机期间的表现,让国际社会意识到不受监管的国际"热钱"的影响力。此后,尽管经历了长期资本管理公司倒闭事件的重创,国际对冲基金业仍凭借其独特的投资策略、运作机制和业绩,极大地吸引了世界各国的机构投资者和富裕的个人投资者。特别是近年来,全球对冲基金     

致对冲基金的“青春”

对冲基金在国内发展已有时日,不仅给投资者留下了敢于尝试、大胆创新的印象,也时常有惊人的业绩。不仅是表现在可能拥有的高收益,更重要的是,对冲基金提供了脱离于二级市场的相关性,有望成为投资者资产配置的重要角色。也许多年后再来回顾现在,这段萌芽时期正是影响对冲基金发展的青春年代。多种策略八仙过海以表现最好的宏观策略(Global Macro)为例,该策略最大的特点就是投资于全球范围的外汇、股票、债券、期货等金融产品,著名的George Soros的     

大类资产配置的研究现状及其应用前景

复杂的量化大类资产配置策略对于机构投资者技术能力、资本市场成熟度、法律监管和制度设计等提出了更高要求,结合不同机构投资者的投资目标和资金特征,构建基于经济周期和主观判断的分析框架,依然是未来国内市场大类资产配置策略的研究方向所在。     

Institutional investors: Arbitrageurs or rational trend chasers

This paper studies the relationship between institutional investor holdings and stock misvaluation in the U.S. between 1980 and 2010. I find that institutional investors overweigh overvalued and underweigh undervalued stocks in their portfolio, taking the market portfolio as a benchmark. Cross-sectionally, institutional investors hold more overvalued stocks than undervalued stocks. The time-series studies also show that institutional ownership of overvalued portfolios increases as the portfolios' degree of overvaluation. As an investment strategy, institutional investors' ride of stock misvaluation is neither driven by the fund flows from individual investors into institutions, nor industry-specific. Consistent with the agency problem explanation, investment companies and independent investment advisors have a higher tendency to ride stock misvaluation than other institutions. There is weak evidence that institutional investors make a profit by riding stock misvaluation. My findings challenge the models that view individual investors as noise traders and disregard the role of institutional investors in stock market misvaluation.     

Institutional Investment Horizons and the Cost of Equity Capital

We examine the influence of institutional investors’ investment horizons on a firm's cost of equity. We argue that the cost of equity will decrease in the presence of institutional investors with longer‐term investment horizons due to improved monitoring and information quality. Our empirical results demonstrate that the cost of equity declines in the presence of institutional investors with long‐term investment horizons, all else remaining equal. Our results indicate also that the monitoring role of long‐term institutional investors is more pronounced for firms with higher agency problems (poorly governed firms). Overall, our evidence suggests that when considering the influence of institutional investors, it is critical to account for institutional heterogeneity, which leads to new directions for future research.     

A theory of the transition to secondary market trading of IPOs

We develop a model in which investment banks and institutional investors collaborate in smoothing an initial public offering's (IPOs) transition to secondary market trading. Their intervention promotes welfare under the assumption that significant new information arrives in the market in the immediate aftermath of the IPO. Under this assumption, it is optimal to stage the offering and suboptimal to commit to selling shares at a uniform price. The optimal strategy yields an economic rationale for secondary market price stabilization for IPOs carried out via a well-coordinated network of repeat institutional investors.     

Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note

This study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.     

Conflicts of interest in sell-side research and the moderating role of institutional investors

Because sell-side analysts are dependent on institutional investors for performance ratings and trading commissions, we argue that analysts are less likely to succumb to investment banking or brokerage pressure in stocks highly visible to institutional investors. Examining a comprehensive sample of analyst recommendations over the 1994–2000 period, we find that analysts’ recommendations relative to consensus are positively associated with investment banking relationships and brokerage pressure but negatively associated with the presence of institutional investor owners. The presence of institutional investors is also associated with more accurate earnings forecasts and more timely re-ratings following severe share price falls.     

Foreign Institutional Ownership and the Global Convergence of Financial Reporting Practices

This paper investigates whether foreign institutional investors affect the global convergence of financial reporting practices. Using several measures of reporting convergence, we show that U.S. institutional ownership is positively associated with subsequent changes in emerging market firms’ accounting comparability to their U.S. industry peers. We identify this association using an instrumental variable approach that exploits exogenous variation in U.S. institutional investment generated by the JGTRRA Act of 2003. Further, we provide evidence of a specific mechanism—the switch to a Big Four audit firm—through which U.S. institutional investors affect reporting convergence. Finally, we show that, for emerging market firms, an increase in comparability to U.S. firms is associated with an improvement in the properties of foreign analysts’ forecasts.     

Style investing and firm innovation

We document that transient, dedicated and quasi-indexed institutional investors exhibit a high degree of within-group heterogeneity with respect to their investment styles (i.e., growth, value, and balanced). We find that growth institutional investors enhance firm innovation in terms of R&D expenditures, R&D intensity, quantity and quality of patents and patent radicalness while value institutional investors impede innovation. Balanced investors have no significant association with innovation. Findings are consistent with style investing literature that growth and value styles are substitutes. Using investment styles, we present evidence that reconcile literature’s mixed findings on how transient and dedicated investors affect R&D and innovation, and why quasi-indexed investors, the largest group among all investors, have an insignificant effect. We also show that the effect of institutional investors depends on the firm’s relative level of innovativeness.     

Institutional Investors Tilt Their Real Estate Holdings Toward Quality,Too

This article confirms and extends prior results regarding tilting of institutional investment in common stock toward quality. The evidence presented here suggests that, while both real estate investment trusts and institutional investors tilt their real estate holdings toward quality, the tilt is much more pronounced in the case of institutional investors. Controlling for quality, there is further evidence that institutional investors overweight locations where the share of local employment in business services, finance, insurance, and real estate, and transportation is relatively high (compared to national averages). This evidence is consistent with the hypothesis that significant sector tilting by institutional investors is induced by the constraints of the prudent man rule.     

Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we estimate the relationship between equity and bond holdings and common business cycle indicators. Regression analysis indicates that private investors do not systematically move from stocks into bonds by selling stocks to institutional investors and purchasing bonds from them in adverse macroeconomic states. A VAR-error correction framework including cointegration and error correction restrictions suggests that the investment behavior of commercial investors leads and private investors follow in their investment decisions only slowly over time. The asset allocation decisions of institutional investors are not affected by the actions of private and commercial investors. Our results refute a principle of “institutional irrelevance”.     

Do Voting Rights Affect Institutional Investment Decisions? Evidence from Dual‐Class Firms

We examine whether, and to what extent, shareholder voting rights affect institutional investment decisions. We find that institutional ownership in dual‐class firms is significantly lower than it is in single‐class firms after controlling for other determinants of institutional investment. Although institutions of all types hold fewer shares of dual‐class firms, this avoidance is more pronounced for long‐term investors with strong fiduciary responsibilities than for short‐term investors with weak fiduciary duties. Following the unification of dual‐class shares into a single class, institutional investors increase their shareholdings in the unifying firm. Overall, our results suggest that voting rights are an important determinant of institutional investment decisions.