机构投资者持股与会计盈余宣告的信息含量

本文以我国2001—2004年机构投资者持股的上市公司为样本，从机构投资者对上市公司信息利用状况的视角出发，分析了机构投资者持股与会计盈余宣告信息含量的关系，研究结果发现：机构投资者能够相对较早地解读会计盈余信息，其持股比例越高，盈余宣告后的市场反应越小．会计盈余宣告的信息含量越低。在会计盈余宣告前，机构投资者的持股比例高低与市场的累计超额回报正相关；而在盈余宣告后，机构投资者待股公司的市场累计超额回报出现反转。     

碳中和目标下的机构投资者持股偏好研究——来自绿色债券的证据

绿色债券是为企业绿色转型以及碳中和相关技术提供资金支持,促进绿色低碳化发展的新型融资工具。本文以企业发行绿色债券作为主动承担碳中和责任的观测指标,分析其对机构投资者持股决策的影响。研究发现：企业发行绿色债券后机构投资者持股比例显著提高,其中长期稳定型机构投资者持股比例变化更为显著;绿色债券“绿色”程度越高,机构投资者持股比例越高,表明碳中和目标下,机构投资者具有一定绿色偏好。机制检验发现,媒体关注和获取战略性资源是企业发行绿色债券以吸引机构投资者的两个重要渠道。横截面分析显示,上述结果在国有企业、信息质量较高、社会责任水平较高样本中更为显著。此外,发行绿色债券还能带来更高的超额回报。本文结论不仅为机构投资者绿色偏好提供了经验证据,还为进一步完善绿色金融体系以助力实现碳中和目标提供了理论参考。     

机构投资者关注企业的环境绩效吗？——来自我国重污染行业上市公司的经验证据

本文发现企业环境绩效对机构投资者投持股比例有正向影响,并且这种影响只体现在长期机构投资者的持股比例上,短期机构投资者的持股比例不受企业环境绩效的影响。本文还发现环境绩效较好的企业有更高的超额回报,这意味着机构投资者投资于环境绩效较好的公司能够带来更高股票收益。进一步分析表明,环境绩效较好的企业,银行贷款更多、贷款成本更低、所得税负担更轻,可能说明政府为了鼓励企业提升环境绩效在银行贷款获得与所得税优惠方面给予支持,政府的支持可能带来企业长期价值的提升。以上所有结果仅在国有企业样本中存在。     

机构持股、特质风险与股票收益的实证研究

机构投资者的投资行为对股票市场的风险与收益产生了极大的影响,机构投资者的大量参与有助于股票市场的稳定、特质风险的分散以及超额收益的减少。文章选取机构投资者持股占股票市值比例这一指标来刻画机构投资者的行为,检验机构持股比例、特质风险和股票收益之间的关系。实证发现,在中国股市,特质风险与股票收益呈显著的正相关关系;机构大量持股有助于降低股票的特质风险;机构投资者持股比例越低的股票,特质风险越大,股票预期收益越高。     

会计信息质量、机构持股与应计异象

以2012—2015年深市A股上市公司为研究样本,基于信息成本、行为金融、委托代理等理论,运用Mishkin检验、线性多元回归方法,检验了应计异象的存在性,验证了机构持股、会计信息质量对应计异象的影响。研究表明,深市总体存在应计异象,并且机构持股的高低对应计异象产生不同影响,机构持股比例高的公司比机构持股比例低的公司的应计异象程度低。进一步研究显示,会计信息质量对机构持股与应计异象的关系的影响存在差异,对低机构持股公司的影响更加显著。研究有助于减少应计项目的错误定价,提高资本市场定价的准确率,有利于投资者充分理解盈余信息,加强投资者利益保护。     

我国会计准则和国际会计准则盈余报告差异及经济后果研究

本文发现我国投资者不能完全理解AB股公司境内外报告的盈余差异对企业价值的影响。按国际会计准则应计盈余构建的套利组合能获取20％的超额回报,但是同时利用国际会计准则应计盈余和境内外盈余差异构建投资组合,则可以获取30％以上的超额回报。本文的研究结果支持我国正在进行的会计准则国际化。     

机构投资者究竟是否具有基金选择能力？——“存量”视角下的实证研究

本文利用机构持有比例这一“存量”指标,研究机构投资者的基金选择能力。研究发现基金的机构持有比例越高,未来业绩越好,这一结果在控制机构资金净流入和机构投资行为对基金的影响后依然显著,说明机构投资者确实具有选出优胜基金的能力。此外,机构投资者在选择基金时对市场风险敞口回报不敏感,更看重风险调整后的超额收益。本文为养老金入市等政策提供了实证支持,也可为基金投资决策提供参考。     

交易量的信息含量:台湾期权市场的证据

本文应用台湾股指期权市场详细的交易数据,对台指期权交易量的信息含量进行了全面系统的实证检验。我们从全市场、不同投资者以及不同在值程度期权分类角度分别构建了多个五分钟交易量指标,并检验它们对未来台指走势的预测能力。我们发现,全市场的期权交易量指标基本不具备未来指数走势预测能力,但境内机构投资者和境外机构投资者交易量中包含显著的预测信息,价外期权的信息明显地优于价内期权和平价期权。     

盈余公告后债券价格反应对股票未来回报的预测研究

本文研究了我国A股上市公司发布盈余公告后,债券价格反应对于关联股票未来回报的预测能力。研究发现,盈余公告前1日至后1日债券收益率的变动可以预测公告公布后窗口期为20日的股票持有超额累计回报;实证结果显示,这种预测能力不会因为盈余信息的好坏而存在显著的差异;最后基于似无相关模型SUR的检验后,发现上市公司的机构持股比例越低,债券价格反应对于股票回报的预测能力越强。本文研究表明,我国被富有经验的投资者所主导的债券市场中债券价格相对于股票价格会更迅速地吸收消化盈余公告信息。     

机构投资者持股、盈余管理与市场反应

由于会计信息的专业性,个人投资者往往难以从会计数据中识别盈余管理;而作为投资专家的机构投资者能否识别盈余管理,并将其融入到市场价格机制中则成为人们关注的焦点。通过检验机构投资者持股对公司股票累计超额报酬率和盈余管理之间关系的影响,研究发现:机构投资者持股较高的股票的超额报酬率与正向操纵性应计利润显著负相关,说明机构投资者股东能从会计信息中识别公司的盈余管理行为,并将其反映到市场价格机制中去。     

Institutional investors: Arbitrageurs or rational trend chasers

This paper studies the relationship between institutional investor holdings and stock misvaluation in the U.S. between 1980 and 2010. I find that institutional investors overweigh overvalued and underweigh undervalued stocks in their portfolio, taking the market portfolio as a benchmark. Cross-sectionally, institutional investors hold more overvalued stocks than undervalued stocks. The time-series studies also show that institutional ownership of overvalued portfolios increases as the portfolios' degree of overvaluation. As an investment strategy, institutional investors' ride of stock misvaluation is neither driven by the fund flows from individual investors into institutions, nor industry-specific. Consistent with the agency problem explanation, investment companies and independent investment advisors have a higher tendency to ride stock misvaluation than other institutions. There is weak evidence that institutional investors make a profit by riding stock misvaluation. My findings challenge the models that view individual investors as noise traders and disregard the role of institutional investors in stock market misvaluation.     

Institutional stock trading on loan market information

One of the most important developments in the corporate loan market over the past decade has been the growing participation of institutional investors. As lenders, institutional investors routinely receive private information about borrowers. However, most of these investors also trade in public securities. This leads to a controversial question: Do institutional investors use private information acquired in the loan market to trade in public securities? This paper examines the stock trading of institutional investors whose portfolios also hold loans. Using the Securities and Exchange Commission filings of loan amendments, we identify institutional investors with access to private information disclosed during loan amendments. We then look at abnormal returns on subsequent stock trades. We find that institutional participants in loan renegotiations subsequently trade in the stock of the same company and outperform trades by other managers and trades in other stocks by approximately 5.4% in annualized terms.     

Institutional investors and stock returns volatility: Empirical evidence from a natural experiment

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. Performing a Markov-switching-GARCH analysis we find empirical evidence that the increase of institutional ownership has temporarily changed the volatility structure of aggregate stock returns. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional investors.     

Do institutional investors destabilize stock prices? evidence from an emerging market

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics in Poland. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. We find robust empirical evidence that the increase of institutional ownership has changed the autocorrelation and volatility structure of aggregate stock returns. However, the findings do not support the hypothesis that institutional investors have destabilized stock prices. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional trading.     

Do institutional investors have superior stock selection ability in China?

This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China. Controlling for other factors, we find that institutional investors increase (decrease) their shareholdings in stocks that subsequently exhibit positive (negative) short- and long-term cumulative abnormal returns. In contrast, individual investors decrease (increase) their shareholdings in stocks that subsequently exhibit positive (negative) short- and long-term cumulative abnormal returns. These findings indicate that institutional investors have superior stock selection ability in China.     

Herding and Feedback Trading by Institutional and Individual Investors

We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive-feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in institutional ownership—stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.     

The diffusion of corporate governance to emerging markets: Evaluating two dimensions of investor heterogeneity

This study investigates whether foreign institutional investors can enhance shareholder value in emerging markets. We pay special attention to two dimensions of investor heterogeneity: whether investors declare themselves to be activists, and whether activists come from countries with strong traditions of investor activism (identified by the incidence of hostile takeovers in their respective home countries). First, using an event study approach with regard to announcements of block purchases by foreign institutional investors in Korea, we find that stock prices increase only when foreign institutional investors declare themselves to be activists (increasing on average by 3% over a 20-day window). Second, we find that positive stock price reactions are more pronounced when the activist investors come from source countries with strong traditions of investor activism (increasing on average by 7% over a 20-day window). Third, we find that target firms are more likely to reduce cash holdings, raise leverage ratios, and peg dividend payouts, stock repurchases, and CEO turnover more closely to changes in earnings, but only if foreign activists come from countries with strong traditions of activism. We address possible selection bias by propensity score matching.     

信息不确定、坏消息与投资者交易行为

本文以2000年至2010年的A股上市公司违法违规事件为样本,分析该类事件中信息不确定性的影响,以及市场反应中的投资者交易行为。研究发现:上市公司市场价值在事件日呈显著下跌;然而,与直觉有些相悖的是,信息不确定程度与超额累积收益呈显著正相关,这意味着在坏消息到来时,不确定性反而提高了股票的市场价值;最后,通过对各类投资者在此类事件中的净买入情况分析,我们发现不同投资者的交易行为有明显差异。机构投资者在坏消息中采用了反向交易策略,并且知情交易促进机构投资者的买入。     

Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors’ net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.     

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.