流动性黑洞下的投资者结构与股票收益率研究  

Research on the Structure of Investors and Stock Returns under Liquidity Black Holes

作　　者：王昆[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2015年第2期128-141,共14页Review of Investment Studies

基　　金：国家自然科学基金项目"证券市场流动性黑洞理论与实证分析技术研究"(71273170)

摘　　要：基于投资者在不同流动性状况下的行为,研究他们对股票收益率影响,结果表明:个人股东数和持股比例对收益率具有负向影响,而机构股东数和持股比例对收益率具有正向影响,且在发生流动性黑洞时,两者的影响都得到加强;不同机构投资者对收益率影响方向不同,有些机构投资者在不同流动性状况下对收益率影响方向和强度也不同;个人股权集中度在不同流动性状况下对收益率影响方向并不具有一致性,机构投资者股权集中度越大,收益率越高,且这种影响在发生流动性黑洞时更强烈。Based on the different behavior of investors in different liquidity conditions, study their impact on stock returns. The results show that the number of individual and shareholding ratio has a negative impact on yield while the institution has a positive effect. The influence of both investor types have been strengthened under liquidity black holes. Different institutional investors have different effect on the direction of yields and the same type of some institutions influence yield＇s direction and intensity are different in different liquidity conditions. Individual ownership concentration influences the direction of yield is not consistent at different liquidity conditions. Institutional investor ownership concentration has a positive effect on yield and the impact is more intense in the event of liquidity black holes.

关 键 词：流动性黑洞 投资者结构 持股集中度 股票收益率 

分 类 号：F832.51[经济管理—金融学] F275