基于LSV方法的机构投资者羊群行为与股票定价效率

本文利用高频交易数据研究了机构投资者羊群行为对股票定价效率的影响。以LSV方法计算每支股票每天的羊群效应水平并取年平均水平,以股价特有风险衡量股票定价效率,考察两者之间的关系。研究结果表明,机构羊群行为整体上更多是由信息因素驱动,因而提高了股票定价效率。在中国股票市场上机构投资者的买方羊群行为强于卖方羊群行为,且具有更高的信息含量,能更大程度地促进定价效率。本文还发现机构投资者拥有信息的交易通常为中等规模,10万以上每笔的交易信息含量相对较少。     

机构投资者如何影响股票流动性?交易假说抑或信息假说

机构投资者已成为我国证券市场的重要参与主体,但以往的研究多数仅关注了机构投资者对股票市场稳定性和公司治理效率的影响,而忽略了机构投资者的股票流动性效应,机构投资者如何影响股票流动性的问题并未得到有效的澄清。文章在现有研究基础上,将机构投资者影响股票流动性的路径界定为交易假说和信息假说两类,并使用我国股票市场的高频交易数据对这两类假说进行了实证检验。研究发现,机构投资者既能通过信息假说路径负向影响股票流动性,也能够通过交易假说路径负向影响股票流动性。这说明,我们在改善信息披露、减少内幕交易以降低信息摩擦的同时,还需要改善交易机制以降低真实摩擦。     

基于媒体驱动的异质投资者交易行为分析

媒体在发挥信息中介职能传播市场信息的同时,充当了投资者注意力资源的分配机制。本文从股票成交量的变化入手检验了媒体报道对投资者交易行为的影响,发现中小企业板上市公司股票的成交量、成交金额和换手率,与媒体报道强度存在着显著正相关关系;随着媒体报道强度的增加,在个人投资者增加买入的同时,机构投资者将实施相反的操作。因此,这一分析结果验证了行为金融理论关于投资者有限理性的假设,并且从微观层面动态地考察了两类投资者之间的策略互动机制。     

会计稳健性、机构投资者治理和债务融资成本

文章以2012—2017年我国沪深A股上市公司为样本,研究了会计稳健性与机构投资者治理对公司债务融资成本的交互影响。研究结果表明,会计稳健性与债务融资成本负相关;机构投资者持股与债务融资成本负相关;机构投资者持股会在一定程度上弱化会计稳健性和债务成本的负相关关系。根据机构投资者持股目的将其划分为稳定型和交易型两类时,发现相对于交易型机构投资者,稳定型机构投资者会进一步减弱会计稳健性与债务融资成本的负相关关系。这说明会计稳健性和机构投资者治理均有利于降低公司的债务融资成本,并且会计稳健性和机构投资者治理这两种治理机制在降低债务融资成本上呈现替代的关系。     

我国股市过度投机下个体证券投资者行为分析

过度投机是我国股市的现状,而研究这种状况下投资者采取何种投资策略,对于其能否克服投机行为带来的风险,并进而利用其他投资者的行为来获取收益至关重要。文章从行为金融的角度去研究个体投资者的交易行为,深入考察了中国个体证券投资者行为的主要特点,并分析其行为的决定因素。在此基础上提出个体证券投资者在交易中应该采取的有效投资策略。     

算法黑箱:网络传播误导性旧信息操纵市场的研究

智能互联网时代,新闻以机器学习为基础生产和推荐,公众难以了解其中间环节,从而形成算法黑箱.算法黑箱以看似技术中立输出的与客观事实不符的信息,误导投资者决策,破坏市场定价功能,易引发系统性风险.本文以财经新闻文本相似性为网络传播误导性旧信息的代理变量,采用向量空间模型和词频-逆向文档频率法进行度量.基于数行者(深圳)科技有限公司开发的报刊新闻量化舆情数据平台中1046620条样本新闻数据,发现网络传播误导性旧信息会操纵资本市场,表现为:网络传播误导性旧信息发布一周后,公司股票超额收益反转,且财经新闻文本相似性越高,收益反转越明显;网络传播误导性旧信息还操纵了公司股票交易活动,即降低了公司股票收益波动性和超额交易量.将样本公司按机构投资者持股比例分组后,发现机构投资者持股比例较低的公司受网络传播误导性旧信息操纵的影响更大.网络传播误导性旧信息操纵市场的机制在于个人投资者行为偏见,即个人投资者混淆了财经新闻中包含的新信息与旧信息,并且按照旧信息进行交易.本文为互联网平台算法生产的财经新闻纳入监管提供了政策依据.     

机构投资者实地调研与投资-股价敏感性——基于管理层学习效应视角

文章利用2013-2018年深圳证券交易所上市公司的数据,实证检验了机构投资者实地调研对投资-股价敏感性的影响。研究发现机构投资者实地调研提高了公司投资-股价敏感性,在股价信息含量越高时,机构投资者实地调研对公司投资-股价敏感性的影响越显著,表明投资者实地调研通过信息反馈效应中的“挤入渠道”增强了管理层向市场的学习行为,机构投资者实地调研对投资-股价敏感性的影响在管理层持股的上市公司中更为显著。研究结果表明机构投资者实地调研可帮助上市公司管理层获取更多决策有用信息,提升资源配置效率,对于完善机构投资者调研制度、提升我国资本市场信息效率具有一定的实践价值。     

股票流动性、公司治理与企业经营绩效——基于退出威胁与锁定效应的理论与实证研究

文章采用博弈论的分析框架探讨了股票流动性的两大效应,即"退出威胁"与"锁定效应".研究表明,当股票流动性较低时,机构投资者的退出策略不可行,被迫参与上市公司的监督行为,即表现为"锁定效应",且股票流动性越低,这一效应越明显.然而,随着股票流动性的进一步增强,机构投资者的退出策略开始变得可信,从而可以通过一定的触发策略迫使管理者选择尽职,因而表现为"退出威胁",且股票流动性越高,这一效应越明显.因此,总的说来,股票流动性与经营绩效之间会呈现一个先减后增的U型关系.文章采用高频交易数据构造相对有效价差与相对报价价差衡量股票流动性对上述假说进行了检验,其实证结论支持了文中的假说.     

运用投资者情绪预测资产收益率——基于标普500指数与美国市场的实证研究

文章运用了行为金融学对投资者情绪的研究方法,探讨投资者情绪对资产收益率的影响。文章阐述了投资者情绪对金融市场的影响,构建了反映投资者情绪的指标,将情绪指标输入神经网络算法预测资产收益率方向,并在此基础上构建交易策略。     

投资者情绪对股票市场的影响

目前,股市无疑已成为居民金融投资的主要市场,但是在交易中存在大量散户,且散户人数众多。散户与机构投资者不同,散户由于资金有限且基本都是业余投资者,其专业知识和投资技能相对较差,在信息获取方面也显著少于机构投资者,所以在股市交易中散户的行为带有明显的非理性,可以说散户的交易极易受其自身情绪影响,进而影响整个市场。本文利用数据分析投资者情绪如何影响A股市场,对带有投资者情绪的投资行为进行数学建模,研究投资者情绪是如何影响股市的,并通过对模型的研究得到最后结论,解答了投资者情绪是如何影响股市的难题。     

Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan

A unique data set containing all transactions from the Taiwan Futures Exchange allows us to dissect the long-lasting outperformance of foreign institutional investors in this emerging market. We show that foreign institutional investors comprehensively outperform domestic investors in trade directions, submission types, trading counterparties, order sizes, and order aggressiveness. Although submitting passive orders increases the trading profits of each investor group significantly, particularly for foreign institutions, the most passive domestic trades still lose to the most aggressive foreign institutional trades. We suggest that information advantage plays a more important role than order submission strategy in foreign institutional investors’ superior performance.     

Institutional Investors,Earnings Quality and Asset Liquidity: Evidence from China’s Stock Market

This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China’s stock market: (1) institutional holding negatively affects assets’ liquidity, (2) earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and (3) interestingly, the effect of earnings quality on liquidity is greater if institutional investors’ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.     

Investor behavior and volatility of futures market: A theory and empirical study based on the OLG model

Investor trading behaviors are always an important issue in behavioral finance and market supervision. This study examines the relationship between investor behavior and future market volatility. We first introduce a two-period OLG model into the futures market, and develop an investor behavior model based on future contract price. We then extend the model to two scenarios: complete and incomplete information. We provide the equilibrium solution, and develop two hypotheses, which are tested with cuprum tick data in Shanghai Futures Exchange (SHFE). Empirical results show that the two-period OLG model for future market is consistent with the market situation in China. More specifically, investors with sufficient information such as institutional investors usually adopt the contrarian trading strategy, whereas investors with insufficient information, e.g., individual investors, usually adopt the momentum trading strategy. These findings reveal that investor behaviors in the Chinese futures market are different from those of in the Chinese stock market.     

指数期货套利交易策略设计

在期货市场上 ,指数期货是一种股票的避险工具。由于时间及其它因素 ,使得指数期货市场发生不平衡的现象 ,此一不平衡我们称之为套利空间。如何运用金融工程和信息技术来计算出其套利空间 ,为投资人赢得更多的利润 ,正是本研究的宗旨。本文针对指数期货的特性来寻找实时套利机会 ,明确地指出了买低卖高的方向及套利空间的大小 ,并给投资者设计了指数期货套利的交易策略。     

Institutional trading in IPOs and post-IPOs: Value-based vs speculative

Using a unique dataset from Shanghai Stock Exchange, we study institutional trading behaviors in IPOs and post-IPOs. From the perspective of value-based or speculation, we find that, (1) institutional investors are flippers on the first day of IPOs, (2) trading by institutional investors and the active institutional investors (mutual funds or brokerage) is value-based, and (3) the net buys of institutional investors can predict the long term performance of IPO-firms and shows a negative relation with a bubble in future. Since individual investors are the opponent of institutional investors, our results mean that individuals are speculators in the market. Our study suggest that institutional investors are the sophisticated ones in the market and they can process information more efficiently, whose value-based trading can enhance market price discovery and is good for market stabilization.     

The price impact of futures trades and their intraday seasonality

This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.     

Foreign portfolio investors before and during a crisis

Using a unique data set, we study the trading behavior of foreign portfolio investors in Korea before and during the currency crisis. The central message is that investors in different categories have different trading patterns. For example, foreign investors outside Korea are more likely to engage in positive feedback trading strategies and are more likely to engage in herding than the branches/subsidiaries of foreign institutions in Korea or foreign individuals living in Korea. This difference in trading behavior is possibly related to the difference in their information. This paper suggests that it may be worth exploring policies that can encourage foreign investors to acquire more information (e.g. by setting up a branch or a subsidiary in the emerging country).     

The lead–lag relationship between equities and stock index futures markets around information releases

This paper documents a strengthening in the lead of stock index futures returns over stock index returns around macroeconomic information releases. Some evidence of a strengthening in feedback from the equities market to the futures market and weakening in the lead of the futures market around major stock‐specific information releases is also provided. This is consistent with the hypothesis that investors with better marketwide information prefer to trade in stock index futures while investors with stock‐specific information prefer to trade in underlying stocks. A small weakening in the contemporaneous relationship between stock index futures returns and stock index returns around both types of releases is also documented. This is consistent with disintegration in the relationship between the two markets associated with noise induced volatility. One by‐product of this study is new comparative evidence on the performance of adjustments for infrequent trading of index stocks based on a commonly used ARMA technique versus recalculation of the stock index using quote midpoints. The results suggest that the quote midpoint index performs at least as well as the ARMA adjusted index across the entire sample period, as well as around the different types of information releases. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:467–487, 2000     

Foreign investors in Taiwan: Their roles and government perspectives

This article describes the financial liberalization process in Taiwan and evaluates the effects of foreign institutional investors on Taiwan's stock market. Gradual liberalization allowed Taiwan to reap the benefits while reducing the harmful impacts of foreign participation during the Asian financial crisis. Overall, the liberalization policies proved to be effective as the stock market has become more stable and efficient. Foreign institutional investors contribute significant growth to the Taiwan stock market, and will continue to play a sizeable role in its future development.