机构投资者的羊群行为能降低投资风险吗?——来自中国上市公司的证据

机构投资者的羊群行为对投资风险影响的实证分析结果表明: 机构投资者存在羊群行为,卖出羊群行为的程度大于买入羊群行为的程度,而且卖出羊群行为加大了投资风险、降低了投资回报率; 买入羊群行为减少了投资风险、提高了投资回报率。因此,加大监管机构投资者卖出羊群行为有利于降低投资风险,并促进证券市场稳定发展。     

Company visits and stock price crash risk: Evidence from China

Using a sample of Chinese listed firms, we observe that firms more visited by analysts or institutional investors exhibit lower future stock price crash risk. This effect is more pronounced for firms facing more incentives for or fewer constraints on hiding bad news. Greater mitigation of crash risk occurs if more firm-specific information is discovered during such visits and if visits are conducted by analysts instead of institutional investors. The impact of company visits is observed mostly in the first half of the subsequent year. These findings suggest that company visits mitigate crash risk by discovering and disseminating firm-specific information.     

Institutional investors and international investments in emerging economy firms: A behavioral risk perspective

While the extant literature has examined the influence of controlling and non-controlling principals on the internationalization decisions of emerging market firms, heterogeneity among non-controlling principals is largely ignored. The risk characteristics of different groups of owners, shaped by their institutional environments, could contribute to the differences in their preferences for firm internationalization. In this paper, we draw insights from institutional theory and behavioral risk perspective to examine the risk propensities and risk perceptions of various non-controlling principals, such as pressure-resistant (FIIs and mutual funds) and pressure-sensitive (banks, insurance companies and lending institutions) institutional investors. Empirical results from a sample of 2364 unique Indian firms during the 2005–2014 time-period show that, after controlling for firm-level resources and capabilities identified in prior literature, the ownership share of different types of institutional investors is associated with firms’ international investments differently. While pressure-sensitive institutional investors, such as banks and insurance companies, are not supportive of foreign investments by firms, pressure-resistant institutional investors, such as FIIs and mutual funds, are supportive of this strategic decision. Furthermore, our results show that the family ownership in a firm (measured in terms of family shareholding) further lowers the preference of pressure sensitive institutional investors for internationalization, whereas family ownership positively moderates the pressure resistant investors towards internationalization.     

Corporate Philanthropy and Stock Price Crash Risk: Evidence from China

How to mitigate stock price crash risk has become a focus in the theoretical and practical fields. Building on the work of Kim et al. (J Bank Finance, 43:1–13, 2014b), this paper investigates the relation between corporate philanthropy and crash risk under the unique Chinese institutional background. The results show that both state ownership and the 2005 split share reform attenuate the mitigating effect of corporate philanthropy on crash risk. Specifically, the negative relation between corporate philanthropy and crash risk is less pronounced for state-owned enterprises than for non-state-owned enterprises, and it is also less pronounced after firms accomplish the split share reform. Further, this effect is more pronounced for firms with greater financial risks and poorer performance. Our paper contributes to the growing literature on the determinants of stock price crash risk and the economic consequences of corporate philanthropy. It also offers useful guidance to firms that are seeking to reduce stock price crash risk in emerging markets.     

When Is a Firm's Information Asymmetry Priced? The Role of Institutional Investors

This study reexamines the competing claims that probability of informed trading (PIN) is priced in the cross‐section of stock returns while adjusted PIN (AdjPIN), the component of PIN related to information asymmetry, is not. We find that behind these seemingly contradicting conclusions is the role of institutional investors, and the pricing of PIN and AdjPIN depends on institutional ownership. Only for those stocks with low institutional ownership are both PIN and AdjPIN priced. Our findings imply that investors require compensation for information risk only from stocks with low institutional ownership.     

Foreign institutional investors and stock return comovement

We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.     

Foreign institutional investors and stock return comovement

We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.     

Leverage made at home: Investors' margin loan usage and firm leverage

The “homemade leverage” conjecture by Modigliani and Miller (1958) implies that firm leverage and investors' leverage are substitutes. Using the data of margin loans by Chinese stock investors, we find that investors take significantly fewer margin loans on a stock when the company announces new bank loans. This effect is entirely driven by investors' margin loan repayment upon announcements, and is stronger for firms with higher institutional ownership or lower leverage. The findings suggest that investors undo the change in firm leverage by adjusting margin loans usage, supporting the “homemade leverage” conjecture.     

中国式融资融券与企业金融化——基于分批扩容的准自然实验

本文聚焦于中国经济“脱实向虚”背景下非金融企业金融化问题,将分批次放开融资融券限制作为准自然实验,构造双重差分模型,探究融资融券机制对企业金融化行为的影响。研究发现,融资融券机制的实施总体上会显著地促进企业金融化。这种促进作用主要源于实际交易中占主导地位的融资机制。虽然融券机制对企业金融化有一定的抑制作用,但在融资交易与融券交易高度不对称的情形下,活跃的融资交易加剧了企业配置金融资产的短期投机套利行为。金融资产与经营资产的收益率差距和股价下跌风险是企业调整投资策略的两个关键因素。进一步研究发现,融资融券对企业金融化的影响只存在于管理层持股和机构持股比例较高、产品市场竞争较弱和处于牛市行情等情形中。本文有助于理解中国式融资融券的经济后果,也从制度环境层面为厘清非金融企业“脱实向虚”的内在机制提供了一个新视角。     

Critical audit matters and stock price crash risk

Using manually collected data on the number and category of critical audit matters (CAMs) in the period 2016–2017, we investigate the hitherto unexplored questions of whether CAMs affect firm-specific crash risk, how CAMs influence crash risk in the Chinese capital market, and recognize CAMs that contain incremental information. Our findings are as follows: (1) Crash risk decreases after implementing the new audit standard requiring the disclosure of CAMs; (2) CAMs release negative information and change the capital market information environment; (3) only corporateidiosyncratic CAMs contain incremental information; (4) crash risk is mitigated only by CAMs disclosed by companies with a high shareholding of institutional investors. The main conclusion of our study is a positive assessment of the new audit standard and of CAMs in terms of protecting the interests of investors and strengthening the stability of the capital market to provide a new perspective for supervising the implementation of the new audit standard.     

机构投资者持股特征研究述评

国外关于机构投资者持股与公司特征的研究经历了不断丰富和不断细化的阶段。研究者从单纯的财务指标研究扩展到以某一个角度为重点,同时控制重要影响变量的多角度研究;对于机构投资者的类别划分也更为详细,开辟了分类对比研究的新方法。在机构投资者持股与公司治理信息的研究方面,西方的研究根据机构投资者的成熟程度不仅考察机构投资者对公司治理信息的被动关注,而且将研究视角更多地放到机构投资者对公司治理信息的积极影响方面。在我国,机构投资者与公司治理信息的研究还不多见,而且在研究内容上还不够广泛与深入,在机构投资者持股与公司治理信息二者的关系上还存在梳理不清晰,甚至是错误的现象。     

不同机构持股比例下的上市公司特征

如果对机构持股特征以及影响机构持股比例高低的因素进行理论与实证分析,就会发现不同机构持股比例的上市公司在盈利能力、治理状况和市场化指标方面存在显著差异,公司盈利能力越强、股权越分散、流通股比例及流通市值规模越大,越受机构投资者欢迎,其机构持股比例越高。     

How does FX liquidity affect the relationship between foreign ownership and stock liquidity?

This study investigates the roles foreign investors play in a representative emerging market, focusing on the relationship between foreign ownership and stock market liquidity as well as this relationship's response to foreign exchange (FX) liquidity. Our analyses yield three main results. First, the bid–ask spread and price impact of stock trades decrease along with foreign ownership, supporting the view that foreign investors tend to improve stock liquidity. Second, foreign ownership decreases along with a decline in FX liquidity, suggesting that foreign investors care about FX liquidity when determining their stock holdings. Third, stock liquidity increases continuously along with foreign ownership as FX liquidity decreases. Overall, this study's evidence indicates that foreign investors, as liquidity providers, can play a positive role in an emerging economy even when FX liquidity declines.     

Institutional Interest,Ownership Type,and Environmental Capital Expenditures: Evidence from the Most Polluting Chinese Listed Firms

This study empirically examines whether firms’ environmental capital expenditures impact institutional investors’ investment decisions in the Chinese market. We particularly examine the impact of ownership type on the relationship of environmental capital expenditures and the behavior of different types of institutional investors by classifying institutional investors into two categories, short-term and long-term investors. In addition, this study further investigates whether environmental capital expenditures related to ownership type increase firm value. We find that long-term institutional investors tend to invest in state-owned firms (SOEs) making environmental capital expenditures. Results also indicate that, with governmental backing and encouragement, the market value of SOEs making more environmental capital expenditures is likely to increase. However, no similar results are found for non-SOEs.     

International investors’ reactions to cross-border acquisitions by emerging market multinationals

How do international investors react to announcements of cross-border mergers and acquisitions (CM&As) by emerging market multinational enterprises (EMNEs)? Using a unique and manually-constructed firm-level dataset, this paper examines the stock price reactions to CM&A announcements made over the period 1991–2010 by Chinese MNEs listed on the Hong Kong Stock Exchange and the wealth impacts of their corporate governance. Our empirical findings confirm a positive stock price reaction on average, and suggest that international investors react positively to the presence of large shareholders, but negatively to the presence of institutional shareholders. There is a negative impact if the largest shareholder is either the State or the corporate founder. We suggest that this is because the international investors perceive potential principal–principal conflicts in such ownership/control constellations and discount equity prices accordingly. We also find that Board size and independence have positive effects on the price reaction, but that large supervisory boards engender negative reactions.     

Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China

We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market inefficiency explains the DGTW_CAR3 premium. Further analysis shows that, in addition to earnings information, the optimism reflected in the management discussion and analysis section of the annual or half-year report also contributes to the DGTW_CAR3 premium. This finding implies that DGTW_CAR3 may contain new fundamental information that correlates significantly and positively with future stock performance. Finally, we find that the institutional ownership change of a stock associated with DGTW_CAR3 also significantly and positively predicts the stock's return, suggesting that institutional investors adjust their holdings according to DGTW_CAR3 and consequently influence the demand for the stock in the China's A-shares market.     

Management commitment to innovation and esop stock concentration

The separation of ownership and control can lead to managerial entrenchment and a convergence of decision making and decision control. Decision-making refers to management's authority to make strategic and operating decisions while decision control refers to the ratification and monitoring of management decisions. Managers that possess decision control may behave in a risk-reducing manner relative to the behavior of owner managers because of management's desire to maximize job security Amihud and Lev 1981, McEachern 1975. For example, the managers of such firms may choose to diversify the firm into a wide variety of industries in an attempt to smooth revenues and earnings and avoid a series of peaks and valleys in the company's financial performance. These managers may believe that stable earnings will be viewed positively by shareholders and should help lessen the risk of stockholder action to replace upper-level management. Managers that possess both decision-making and decision-control capabilities may pursue a variety of risk-reducing strategies in addition to broad diversification.The existence of large outside investors has been shown to result in management becoming less risk-averse; management is more willing to adopt a wide range of strategies that present greater risk, but offer greater returns to shareholders. Hill and Snell (1988) found a significant, positive correlation between stock concentration and R&D intensity, indicating that large outside beneficial owners or dominant stockholders can influence management to pursue higher risk-higher return strategies. R&D intensity is used as a proxy for innovation and is generally operationalized as a firm's industry-adjusted R&D expenditures as a percentage of its sales. Findings of other studies also suggest that large investors are associated with decreased risk aversion by management. When controlling for the effects of time, previous R&D spending, liquidity, market share, diversification, market concentration, industry, and leverage, Hansen and Hill (1992) found a mild positive correlation between institutional stock concentration and R&D spending.This paper examines management's ability to utilize employee stock ownership plans (ESOPs) to facilitate managerial decision control or the capability to ratify and monitor decisions and subsequently adopt greater risk-reducing behavior. It is possible that management may adopt an ESOP to enhance entrenchment by placing a large block of the company's shares under the control of company managers and employees that are under the supervision of management. As a result, some ESOPs may not be effective alignment mechanisms since participants may find it difficult to organize a vote against management proposals or generate adequate enthusiasm and momentum to replace top-level managers. The paper anticipates that a positive relationship exists between the degree of ESOP stock concentration and the reduced risk-taking behavior of management. Specifically, the study argues that as ESOP stock concentration increases, management will likely behave in a risk-reducing manner and decrease its commitment to innovation, as measured by R&D intensity.Employee stock ownership plans (ESOPs) are qualified retirement plans under the Employee Retirement Income Security Act of 1974 (ERISA) and are treated similarly under the Act to other qualified pension plans with the exception of portfolio diversification. Employee stock ownership plans consist only of shares of the employer's stock and the performance of an ESOP-based retirement fund hinges with the market performance of that single stock. An agency theory framework would suggest that ESOPs that control large blocks of outstanding shares have an effect on management similar to that of other large investors and act to encourage management to craft and implement strategies that will yield superior financial and market performance. As ESOP stock concentration increases, agency theory proposes that ESOP participants would readily act to protect their interests and the interests of other shareholders. However, some previous research suggests that large ESOPs are not alignment mechanisms, but further entrench current management into their positions.Gordon and Pound (1990) found that management can use large ESOPs to increase effective insider ownership to protect against unwanted changes in corporate control. The authors suggested that ESOPs were less effective than other types of large investors at monitoring management decisions since ESOPs are unilaterally undertaken by management, ESOP shares are held only by incumbent managerial and non-managerial employees, and ESOP trustees are frequently appointed by management. The market has been shown to view an ESOP as a management entrenchment mechanism when the ESOP was adopted as a possible takeover defense Chang 1990, Dhillon and Ramirez 1994. The market reacts more favorably to an ESOP adoption when other large outside shareholders are present who have the capability to offset the influence of inefficient managers who might choose to use the ESOP to further entrench themselves into their positions (Park and Song 1995).The results of this study find that after the implementation of an ESOP, R&D intensity decreases as ESOP stock concentration increases. A significant negative relationship exists between ESOP stock concentration and change in industry-adjusted R&D intensity at the 0.05 level when controlling for firm size and change in profitability. The sample included firms where ESOP stock concentration represented as little as 3% of the employer's outstanding shares and as much as 67% of all outstanding employer stock. The sampled firms with the greatest ESOP stock concentration were associated with the greatest decreases in industry-adjusted R&D intensity after the implementation of the ESOP. The results suggest that management of high ESOP stock concentration firms became more risk-averse in regard to commitment to innovation after implementation of the ESOP.Agency theory adequately explains the effect of large outside stockholders on management's choice of strategy. Hill and Snell (1988) and Hansen and Hill (1992) have found that as stock concentration increases, incentive alignment becomes increasingly likely. The independent nature of large outside blockholders contributes to a separation of decision making from decision control, a reduction in agency costs, and a minimization of managerial risk-reducing behavior. As highly independent blockholder size decreases, decision making and decision control converge, and management entrenchment is more probable.Agency theory fails to adequately explain the effect of employee stock ownership on managerial risk-reducing behavior. Employee stock ownership does have the capability to align shareholder and employee interests under the proper conditions. However, ESOPs lack independence from managerial influence and are much less likely than outside institutional investors to monitor management decision-making and pressure management to adopt strategies that incorporate greater risk and an opportunity for greater returns. The study found that increased ESOP stock concentration was associated with greater managerial risk-reducing behavior. The results suggest that agency effects are more likely in firms with modest ESOP stock concentration since the ESOP does provide incentives for an alignment of interests, but does not provide management with a mechanism to block the actions of other large blockholders. ESOPs with higher levels of stock concentration are likely to facilitate management entrenchment by preventing some large percentage of shares from aligning with other large shareholders to challenge management decision-making. If other investors lack the capability to put full pressure on management, the monitoring and ratification of management decisions has been yielded to management. Therefore, a managerial entrenchment hypothesis is better suited than agency theory in explaining the effect of large ESOPs on management's risk-reducing behavior.     

Saddled with Attention: Overreaction to Bankruptcy Filings

We analyze the effect of investor attention on stock prices around Chapter 11 bankruptcy filings. We measure investor attention as abnormal search volume from Google, and find that attention‐grabbing companies have more negative abnormal stock returns in the days before and during bankruptcy filings and more positive abnormal returns immediately thereafter. That is, for companies receiving high attention, investors overreact to a bankruptcy filing; for companies receiving low attention, they underreact. This pattern is more pronounced for companies with low institutional ownership and holds after controlling for standard predictors of stock performance during bankruptcy.     

How Do Franchise Ownership Structure and Strategic Investment Emphasis Influence Stock Returns and Risks?

Franchisors seek to maximize firm value by managing investments both in tangible and intangible assets and in the mix of company and franchised outlets, yet little is known about how investors respond to shifts in these strategic decisions. Our goal is to assess the impact of these decisions on shareholder value within franchise systems through panel-data models. Specifically, we provide evidence on how investors in publicly traded franchises evaluate both the ownership structure and the strategic investment emphasis between intangible assets (e.g., brand) and tangible assets (e.g., plant and property). We find that an increase in the proportion of franchised units is negatively associated both with stock returns and idiosyncratic risk. In contrast, an increase in the emphasis on strategic investments in intangible assets is positively associated both with stock returns and idiosyncratic risk. Moreover, strategic investment emphasis moderates the strength of the effect of franchise ownership structure when firms franchise internationally. Overall, this research provides a novel empirical examination of franchising economics and has managerial implications for franchised channel structure.