信息透明度与散户的交易选择——基于深圳交易所上市公司的实证研究

股市的风险往往归因于散户的交易,大力发展机构投资者成为提高市场效率的不可挑战的信条。透过微结构数据的分析,本文发现散户交易存在过度自信特征,可能过度高估私有信息精确度,导致错误定价信息。分离了过度自信的因素后,本文发现信息透明度为散户交易的重要依据。更为重要的是本文发现,相对于散户而言,信息透明度对机构投资者交易的影响较低,说明了信息透明度对处于信息劣势的投资者具有更重要的现实意义。     

机构投资者、异质性与上市公司税务激进

本文以2009～2016年沪深两市A股上市公司为样本,实证研究了中国机构投资者总体及异质机构投资者持股对上市公司税务激进的影响。研究发现,机构投资者持股比例与上市公司税务激进程度显著正相关,即机构投资者持股比例越高,上市公司税务行为越激进。对机构投资者进行划分比较后发现,压力敏感型机构投资者对上市公司税务激进行为的影响力较弱,不能有效发挥治理作用,而压力抵制型机构投资者持股会对被投资企业的税收活动带来有利影响,增加上市公司税收激进程度,发挥了重要的治理作用。将样本按照最终控制人进行划分后发现,压力抵制型机构投资者对被投资公司税务激进程度的促进作用在非国有企业中更明显。     

市场透明度改变影响交易者行为吗？

基于中国证券市场2003年12月8日提高市场透明度这一事件，本文对市场透明度提高对交易者行为的影响进行了研究。结果发现：市场透明度提高明显改变了交易者的交易策略，主要表现为交易者整体交易指令的激进程度降低，其中交易者减少提交市价指令，增加了撤单的频率。研究还发现，市场透明度提高导致交易者提交价格增进的限价指令的比例下降，而提交小额交易指令的比例增加，同时交易者对交易环境的改变具有学习与逐步适应的能力。     

散户投资者如何影响债券价格？——基于交易所同一只信用债的价格差分析

交易所债券市场存在竞价交易和大宗交易两种方式,由于交易门槛限制,散户投资者只能参与竞价交易。本文考察同一只信用债、同一天在两种交易方式下的价格差,以识别散户投资者的影响。实证结果发现:竞价交易下的债券价格显著更高,并且高收益率债券的交易更为频繁,说明竞价交易下的投资者可能存在片面追逐收益率而忽视基本面的特点。进一步分析发现,在散户需求更大(如票面利率更高、认知度更高)的债券上,价格差也更大,说明散户投资者对高收益率债券的需求是竞价交易价格更高的主因之一。本文还提供证据说明,价格差的持续存在主要是由于套利限制而不是由流动性溢价所导致。最后,本文考察了“云南城投债危机”这一外生冲击对价格差的影响,得到了与上述一致的结论。     

订单簿透明度对市场质量影响的实证研究

本文主要以行情揭示三档变五档的透明度变化事件来实证订单簿信息透明度对市场质量和订单行为的影响。结果发现,信息透明度提高之后,市场质量得到改善:一是市场流动性显著提高,二是市场波动性显著降低。其机理是透明度提高吸引了投机性投资者及流动性需求者提交订单,市场流动性得以提高,并降低了市场波动性,但是价格发现效率受到轻微影响。此外,研究还发现:(1)机构投资者下单数量和撤单数量减少,但是订单规模变大,表明其合并了小订单代之以大订单。(2)买单和卖单占比、订单久期、订单不平衡程度没有显著变化,但机构投资者撤单比例降低。     

我国证券市场投资者结构分析

我国证券市场在几十年改革中快速发展,但一直存在投资者结构失衡的问题,证券市场如何实现去散户化亟需解决。近十年中,我国证券市场投资者结构发生了深刻的变革,尤其是机构投资者变得更加强大,其内部结构出现了重大变化,最终形成了投资者多元化的趋势,本文通过数据分析和对比研究了投资者结构的重大变化。     

询价制度第一阶段改革有效吗

询价制度第一阶段改革后,新股定价效率明显提高,证监会取消对发行价格的管制是新股定价效率提高的前提,询价对象竞争程度的增加是定价效率提高的根本动因;改革后,机构投资者择股效应显著,将定价效率提高所引发的部分投资风险转嫁给了中小投资者。中小投资者由改革前利益分配不公平转变为改革后风险分担不公平,定价效率进一步提高很可能引发中小投资者的赢者诅咒。发行制度未来改革应在注重提高定价效率的同时,限制机构投资者向中小投资者转嫁风险的能力。     

机构投资者、信息披露与盈余管理

本文以反映公司治理效率的信息披露与盈余管理作为关注要点,深入研究了机构投资者持股的治理效果问题.本文研究表明,机构投资者持股公司的盈余管理程度显著低于无机构投资者持股公司,并且盈余管理程度随着机构投资者持股的增加而显著降低.本文还检验了机构投资者持股能否有效提高公司信息披露的质量,发现机构投资者持股公司的信息披露质量显著高于无机构投资者持股公司,而且信息披露质量随着机构投资者持股的增加而提高.本文还发现,机构投资者持股公司信息披露对于盈余管理的监控作用更为显著,并且随着机构投资者持股的增加促进作用更为明显.以上发现意味着目前我国机构投资者已经参与到公司治理中,并在一定程度上发挥了积极的治理作用.     

异质性交易策略与股价崩盘风险研究

基于2011—2022年中国A股交易数据，研究了异质性交易策略对股价崩盘风险的影响。研究表明，个人投资者的当期情绪以及机构投资者的前期情绪，能够显著影响风险资产特质收益率的波动：个人交易者倾向于做出骑乘泡沫行为，而机构交易者则倾向于利用市场噪声情绪推高风险资产价格并提前变现离场。同时，在对股价崩盘风险和异质性交易策略之间可能存在的系统性断点进行门限检验后发现，机构投资者的相对力量效应对风险资产价格波动的影响程度存在门限点。当机构投资者的相对力量效应超过特定的阈值点时，股价长期崩盘风险会随着相对力量效应的提高而降低；而当个体交易者在市场上占据绝对主导、机构交易者相对力量降低时，股价长期崩盘风险会提高。因此，有效引导交易者对风险资产的需求回归价值面本身，避免出现噪声蛊惑和诱导交易，是有效防范化解金融交易风险的关键。     

机构投资者持股能提升国企并购绩效吗?——兼论中国机构投资者的异质性

机构投资者股东积极主义逐渐被西方认同,尤其是稳定型机构投资者,受长期利益驱动而积极参与公司治理。中国国企因受政府干预,机构投资者的作用有待进一步检验。本文选取国企并购样本,考察异质的机构投资者股东对国企并购绩效的影响。结果表明,交易型机构投资者持股与国企并购绩效显著正相关,稳定型机构投资者持股未体现出明显的治理效果;进一步研究发现,在国企的关联并购中,交易型机构投资者的作用也不再显著。我们认为,我国交易型机构投资者多为主动投资,会积极参与国企监督与决策,稳定型机构投资者在国企中的投资多为被动投资,不关心个体的经营;国企关联并购中的政府干预更强,使得交易型机构投资者也无法发挥作用。本文将为国企混合所有制改革中机构投资者的引入提供支持。     

Social trust and foreign ownership: Evidence from qualified foreign institutional investors in China

We investigate the effects of social trust on foreign institutional investors’ equity holdings in listed Chinese firms from 2005 to 2011. We find that social trust embedded in the regional environment is an important factor for the investment decisions of foreign institutional investors. We also find that the proportion and likelihood of foreign ownership increases with the level of social trust. The results support the notion that social trust and trust-related information help mitigate informational barriers in international equity investments. Our results are robust to alternative measures of social trust and a range of model specifications, including instrumental variable estimation. We document that the effects of social trust on foreign ownership diminishes in the presence of organizational learning, better formal institutional development, conservative financial reporting, and asset transparency. We also show that foreign institutional investors from countries with a common law origin are more likely to incorporate trust-related information in their investment decisions.     

Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations

This study explores how institutional and individual investors respond to analyst recommendations. Using a unique account-level trading dataset taken from the Shanghai Stock Exchange, we obtain direct evidence to show that (1) active institutional investors are significantly net buyers (net sellers) on “strong buy” and “buy” (“hold” and “sell”) recommendations; (2) active institutional investors condition their trades based on the buy-side pressure of analysts; (3) institutional investors earn abnormal returns by incorporating analysts’ buy-side pressure into their trading reactions to analyst recommendations; and (4) individual investors, in contrast, exhibit abnormal trade reactions opposite to those of active institutional investors. Our results are robust to alternative measures and different specifications. This study provides evidence that active institutional investors are more sophisticated processors of information and provides support for regulators’ concerns about the sub-optimal investment decisions made by individual investors who are unaware of the potential conflicts of interest analysts may face.     

Order aggressiveness of institutional and individual investors

This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual investors become more aggressive when the same-side (opposite-side) market depth increases (decreases). When the spread widens, both individual and institutional investors tend to become less aggressive. Institutional investors are more aggressive in the opening hour of the trading day, while individual investors are less aggressive initially and increase their order aggressiveness during the rest of the trading day.     

Corporate Bond Market Transaction Costs and Transparency

Using a complete record of U.S. over‐the‐counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and they drop when the TRACE system starts to publicly disseminate their prices. The results suggest that public traders benefit significantly from price transparency.     

Who moves the stock market in an emerging country – Institutional or retail investors?

By analyzing the dynamic behavior of institutional and retail investors in the Indonesia Stock Exchange using their completed transactions (comprising over 250 million observations), this study highlights that their trading strategies and behavior, in which institutions play a more important role than individuals in the market, are indeed different. Specifically, past trading activities by individual (institutional) investors have significantly affected the current trading behaviors and strategies of individual investors (both investor types). Furthermore, retail (institutional) investors are most likely to perform contrarian (momentum) strategies and trade frequently (infrequently) with small (large) amounts of money and short (long) holding periods.     

Informed trading before positive vs. negative earnings surprises

This paper investigates whether institutional investors trade profitably around the announcements of positive or negative earnings surprises. Using Korean data over the period of 2001–2010, we find that information asymmetry is larger before negative earnings surprises (earnings shock) among investors and that the trading volume decreases only before earnings shock announcements due to the severe information asymmetry. We also find that institutions sell their stocks prior to earnings shock announcements whereas individual and foreign investors do not anticipate bad news. Finally, we find that institutional trade imbalance is positively related to the post-announcement abnormal returns of negative events. This study complements and extends prior literature on informed trading around earnings announcements by documenting evidence that domestic institutions exploit their superior information around particularly earnings shock announcements.     

US and Domestic Market Gains and Asian Investors’ Overconfident Trading Behavior

We find that subsequent to both US and domestic market gains, both Asian individual and institutional investors increase their trading and that this effect is more pronounced in bull markets, in periods of relatively favorable investor sentiment, in periods of extremely high market returns, and in markets with short‐sale constraints. We also find that individual investors trade more in response to market gains than institutional investors. Moreover, we find that further integration of Asian stock markets with US stock markets after the Asian financial crisis in 1998 is an important reason for Asian investors’ response to US market gains.     

Institutional trading,investor sentiment,and lottery-like stock preferences

This paper explores the time-varying institutional investor preference for lottery-like stocks. On average, institutional investor holdings reflect an aversion to lottery-like stocks. However, I find that an institutions’ aversion to lottery-like stocks is reduced when investor sentiment is low. Moreover, I find that during low sentiment periods, institutional investors have abnormally high trading profits in more positively skewed stocks. These results suggest that institutions reduce their aversion toward lottery-like stocks during low sentiment periods to profitably trade in lottery-like stocks.     

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。     

Digital financial inclusion and investment diversification: Evidence from China

We examine the impact of digital financial inclusion on the diversification of individual stock investments in China using nationwide data from the Chinese Stock Market Individual Investor Survey and the Peking University Digital Financial Inclusion Index of China. We show that digital financial inclusion significantly increases the diversification of individual stock investments, primarily by reducing investors' perceived transaction costs and mitigating investors' limited attention. It also plays a more significant role among investors with lower conventional financial development, lower financial literacy, below 45 years old, shorter investment experience and females. We recommend the continued promotion of digital financial inclusion to optimise asset allocation in Chinese households.