机构投资者的羊群行为和反馈交易  

Herding and feedback trading of institutional investors

作　　者：林树[1] 俞乔[2] 

机构地区：[1]南京大学会计学系,江苏南京210093 [2]清华大学公共管理学院,北京100084

出　　处：《东南大学学报（哲学社会科学版）》2009年第4期46-49,共4页Journal of Southeast University(Philosophy and Social Science)

基　　金：国家自然科学基金项目(70772034;70802027);教育部人文社会科学一般项目(07JC630035);南京大学文科校级规划项目(2008);南京大学商学院青年教师科研基金(2007)成果之一

摘　　要：在同一季度内基金持有股票份额的变化与收益之间存在着显著的正相关,究其原因,要么是机构投资者比个体投资者从事更多的正反馈交易,要么是机构投资者的羊群行为对股价的影响大于个体投资者。然而,我们没有发现羊群期间后发生收益反转的现象。机构投资者买进的股票表现要好于卖出的股票,表明机构投资者比个体投资者拥有更多的信息。机构投资者的羊群行为与股票的滞后收益正相关,并与股票收益的动量行为有关。Documents show that there is a strong positive correlation between changes in institutional ownership and returns measured over the same quarter.The results suggest that either institutional investors do more positive-feedback trade than individual investors or institutional herding impacts prices more than herding of individual investors.No evidence,however,shows the mean reversion of returns in the post-herding period.Stock institutional investors purchasing subsequently outperform those they sell,which means that they have more useful information than individual investors.Moreover,institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.

关 键 词：机构投资者 羊群行为 反馈交易 动量 

分 类 号：F224[经济管理—国民经济] F830.91