机构投资者交易行为特征研究

本文通过研究股票收益变化和机构持股变化之间的关系,发现对于高机构持股股票,过去表现较好的股票会吸引机构增加持仓,且机构增持的股票相对减持的股票的后续表现又更好,而低机构持股股票则不然。这表明机构投资者整体上是采用正反馈即惯性交易策略的,而个体投资者的行为则较为随机。对于缺乏投资经验的个体投资者而言,论文结果意味着他们应当委托机构进行理财如投资于基金。

On the Trading Strategy of Institutional Investors

This paper demonstrates that there are significant differences in patterns of stock returns and institu- tional ownership between the two groups of stocks:the group of stocks with higher institutional ownership and the one with lower institutional ownership.In the group of stocks with higher institutional ownership,the institu- tional ownership of the stocks with higher recent returns increases afterwards and the returns of the stocks with increased recent institutional ownership are higher afterwards.But a...