Futures Market Sentiment and Institutional Investor Behavior in the Spot Market: The Emerging Market in Taiwan

This paper investigates whether and how futures market sentiment and stock market returns heterogeneously affect the trading activities of institutional investors in the spot market in Taiwan. Our empirical results suggest that foreign investors are net sellers whenever futures market sentiment is bullish and net buyers when investor sentiment is bearish. The two types of domestic institutional investors have poor sentiment timing abilities and the price-pressure effect may account for the behavioral differences among institutional investors. In addition, all three institutional investors are momentum traders. Nevertheless, the momentum trading of foreigners is consistent with an information-based model and that of two local institutional investors, as behavior-based models suggest. This indicates that the same trading momentum strategy can lead to different outcomes for different investors, and both information- and behavior-based momentum trading can exist contemporaneously in the Taiwanese stock market.     

Investor sentiment and the risk–return relation: A two-in-one approach

Traditional finance theory posits a positive risk–return relation, but empirical evidence is inconclusive. Retail investor sentiment has long been viewed as a distorting factor, while more recently institutional investor sentiment is thought to play a role. We examine the separate and joint impacts of retail and institutional investor sentiments on the risk-return relation. We find, at both market and firm levels, the risk-return relation is more likely to be distorted by the two investor-type sentiments jointly, rather than separately. We further find a cross-sectional pattern, with the risk-return relation being more sensitive to investor sentiment for stocks with specific characteristics.     

How Do Institutional Investors Affect Corporate Performance? Evidence from Private Placements in China

Using data on private placements in China from 2007 to 2014, we show that abnormal returns of issuing companies’ stocks are significantly positive on the announcement day, but they become significantly negative during the event window [?20, +20]. Participation by institutional investors has a significant and negative impact on the short-term stock returns. This negative effect is also present in issuing companies’ long-term stock returns and profitability. Furthermore, we find that participation by institutional investors reduces dividend payments after private placements. Overall, our findings do not support the monitoring hypothesis of institutional investors’ role in corporate finance but are consistent with the management entrenchment hypothesis and shareholder pessimism hypothesis.     

Investor Familiarity and Home Bias: Japanese Evidence

We examine how foreign and domestic portfolio investors, both classified into money managers, invest in Japanese firms over the sample period of 1985–1998. We propose the agency-familiarity hypothesis to explain investment behavior of these institutional investors focusing on the two firm-level variables: market capitalization and export ratios. Both types of institutional investors over-invest in familiar firms measured in firm size while each shows opposite preference patterns with respect to the export ratios. The foreign investors become more export-firm oriented in the second-half sample and the domestic orientation of the domestic institutional investors becomes statistically significant during the same second-half. Because of the location difference of their client investors, the compositions of familiar firms are different between these two types with respect to the firm’s export activities. Home bias at the firm level in terms of the sensitivity to the export ratio is evident for both types of investors, especially, in more recent years, although equity home bias at the country level has been gradually mitigated. Based on these macro- and micro-level results, we conclude that the investment behavior of money managers is more consistent with the agency-familiarity explanation than the information-based explanation regardless of their nationalities.     

投资者非理性行为是动量效应产生的原因吗?——来自互联网金融论坛的证据

动量效应是行为金融研究中重要的市场异象,然而目前各市场因素并不能完全解释其来源。在大数据背景下,本文通过挖掘金融论坛的结构化和非结构化数据,深入研究投资者微观行为与动量效应的关系,发现市值规模、账面市值比和行业等市场因素仅能解释约30%的动量效应,而基于行为金融的投资者非理性因素——投资者情绪、投资者关注度和情绪传播度,都是动量效应形成的重要因素,在市场因素的基础上还能继续解释35%左右的动量效应。研究结论对理解动量效应的形成机制和投资实践中网络信息的价值有重要意义。     

Chinese institutional investors’ sentiment

We use daily survey data on Chinese institutional investors’ forecasts to measure investors’ sentiment. Our empirical model uncovers that share prices and investor sentiment do not have a long-run relation; however, in the short-run, the mood of investors follows a positive-feedback process. Hence, institutional investors are optimistic when previous market returns were positive. Contrarily, negative returns trigger a decline in sentiment, which reacts more sensitively to negative than positive returns. Investor sentiment does not predict future market movements—but a drop in confidence increases market volatility and destabilizes exchanges. EGARCH models reveal asymmetric responses in the volatility of investor sentiment; however, Granger causality tests reject volatility-spillovers between returns and sentiment.     

国际因素对我国证券市场的影响——从投资者情绪的角度研究

本文将一国投资者情绪分解为本土投资情绪与国际投资情绪,从而探究国际因素对国内证券市场的影响,并进一步将样本期分为牛、熊、平衡市三个子样本期。考察不同时期国际与本土投资情绪的互动关系是否为线性。结果发现,我国投资者易受国际投资情绪的影响,且不同时期国内与国际投资情绪的相互作用非线性。     

定向增发公司盈余管理研究

文章按照定向增发公司发行对象分组,分析了各组公司在发行前后共计11个季度的盈余管理情况。发现公司只对大股东发行股份时,发行前没有操纵利润,但发行后存在较强盈余管理;当机构投资者参与定向增发时,企业在发行前后都进行了盈余管理,发行后盈余管理的程度有所降低。机构投资者参与定向增发的程度越大,企业在增发过程中盈余管理的持续性和程度都越大。盈余管理的动机可能是为了保证企业承诺业绩的实现。     

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。