| 机构投资者、公允价值与市场波动——基于我国A股市场面板数据的实证研究 |
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| 引用本文： | 刘奕均,胡奕明. 机构投资者、公允价值与市场波动——基于我国A股市场面板数据的实证研究[J]. 财经研究, 2010, 36(2) |
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| 作者姓名： | 刘奕均 胡奕明 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052;上海交通大学,安泰经济与管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目(70772061) |
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| 摘 要： | 文章研究了机构投资者对所投资公司公允价值计量的偏好和机构行为与市场波动的关系,以及公允价值计量方式对于市场波动的影响,并且检验了公允价值计量收益和机构交易对于市场波动的交互作用。研究发现,机构表现出对于公允价值计量资产的回避态度。公允价值计量收益减小了市场波动,而机构投资者的持股和交易却显著加剧了波动,这与我国基金普遍存在短视和羊群行为的解释相吻合。研究结论对于促进公允价值计量,限制机构投机,提高市场效率具有参考意义。
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| 关 键 词： | 公允价值计量资产 公允价值计量收益 机构投资者 市场波动 |
Institutional Investors, Fair Value and Market Volatility: Empirical Evidence from the Panel Data of A-share Stock Market in China |
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| LIU Yi-jun,HU Yi-ming. Institutional Investors, Fair Value and Market Volatility: Empirical Evidence from the Panel Data of A-share Stock Market in China[J]. The Study of Finance and Economics, 2010, 36(2) |
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| Authors: | LIU Yi-jun HU Yi-ming |
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| Affiliation: | Antai College of Economics & Management;Shanghai Jiao Tong University;Shanghai 200052;China |
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| Abstract: | The paper studies institutional investors' preference for the fair-value-based measurement method and the relationship between institutional investors' behaviors and market volatility.It also explores the fair-value-based measurement method and the effects of fair-value-based profit measurement and institutional transactions on market volatility.The results show that the institutions show an evasive attitude to the fair-value-based assets measurement.The profits measured by fair value smooth the market vola... |
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| Keywords: | assets measured by fair value EPS measured by fair value institutional investor market volatility |
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