机构投资者噪声真的小吗?  

Do Institutional Inverstors Really Have Little Noise?

作　　者：刘维奇 任禹铭[3] Liu Weiqi;Ren Yuming

机构地区：[1]山西大学管理与决策研究所 [2]山西财经大学财政金融学院 [3]山西大学经济与管理学院

出　　处：《投资研究》2018年第6期91-103,共13页Review of Investment Studies

摘　　要：文章以2014年1月到2017年6月中国A股市场所有股票为研究对象,对个人投资者和不同类型机构投资者的重仓股进行对比研究,分析其噪声交易者风险大小。进一步,本文进行了噪声交易者风险和股票收益率的相关性分析。研究表明:个人投资者和某些机构投资者的噪声交易者风险是比较接近的,他们同是中国资本市场的噪声交易来源;另外,股票收益率与噪声交易者风险显著负相关,作为承担低噪声交易者风险的QFII基金等可以获得较好的超额收益。Based on the datas of Chinese A-share market and total companies during the period of January 2014 to June 2017, this paper makes a comparative study of the noise trader risk between individual investors'holding stocks and different kind of institutional investor's holding stocks.Further more,this paper carries on the correlation analysis between noise trader risk and stock returns.The results show that the noise trader risk of individual investors and some institutional investors is similar, these investors are the main noise sources of capital market.Besides,stock returns is negatively related"to noise trader risk. QFII fund,as the representatives of low noise trader risk,can obtain very high excess return.

关 键 词：行为资产定价模型 噪声交易者风险 个人投资者 机构投资者 

分 类 号：G11[文化科学] G12.