机构持股、特质风险与股票收益的实证研究  

An Empirical Study on Institutional Ownership,Idiosyncratic Risk and Stock Returns

作　　者：田益祥[1] 刘鹏[1] 

机构地区：[1]电子科技大学经济与管理学院

出　　处：《投资研究》2011年第8期79-88,共10页Review of Investment Studies

摘　　要：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。The investment behavior of institutional investors has a tremendous impact on the stock market＇s risks and returns, the active participation of institutional investors in the stock market improves the stability of the market, the diversification of idiosyncratic risk and reduction in excess returns. We use the ratio of institutional investors＇ holding to the total stock market capitalization to characterize the behavior of institutional investors, to test the relationship between the percentage of institutional ownership, idiosyncratic risk and stock returns. In China＇s stock market, idiosyncratic risk and stock returns have significant positive relation; institutions holding large stocks contribute to the reduction of idiosyncratic risk; the lower the proportion of institutional investors＇ holding, the higher the stocks＇ have greater idiosyncratic risk and expected returns.

关 键 词：特质风险 股票收益 机构投资者 

分 类 号：F224[经济管理—国民经济] F832.51