机构投资者如何影响公司特质风险:刺激还是抑制?——基于通径分析的经验证据  

How Does Institutional Investors Affect Corporate Idiosyncratic Risk:Stimulatory or Inhibitory Role?Experimental Evidence Based on Path Analysis

作　　者：花冯涛[1] 

机构地区：[1]安徽师范大学经济管理学院,安徽芜湖241003

出　　处：《上海财经大学学报（哲学社会科学版）》2018年第1期43-56,101,共15页Journal of Shanghai University of Finance and Economics

基　　金：国家社会科学基金青年项目"基于信息不确定性视角下的中国股票市场公司特质风险研究"(13CGL028)

摘　　要：投资者的行为特征对公司特质风险有直接影响。已有文献均采用"黑箱"范式分析机构投资者对公司特质风险的影响,且结论不一。文章选取2006年至2015年的深沪A股数据,采用SEM通径分析法,从知情交易、噪声交易和公司治理三个途径,分析机构投资者对公司特质风险的作用,结论表明:机构投资者对公司特质风险同时存在刺激效应和抑制效应。刺激效应是指机构持股通过知情交易,扩张私有信息套利,推动公司特质风险上升;而抑制效应则通过公司治理降低噪声交易和私有信息套利,从而抑制特质风险。前者大于后者,总效应表现为机构持股和公司特质风险之间呈正相关性。该研究明晰了机构投资者对公司特质风险的作用机理,同时也说明在我国资本市场上,机构投资者的公司治理作用仍有待提高。The behavioral characteristics of securities investors have important effects on corporate idiosyncratic risk because it is the key media from any point of view to explain the formation mechanism of idiosyncratic volatility that has already been an emerging field in finance. Institutional investors have significant impacts on stock price volatility based on their professional competence, information superiority and capital strength, so there is an inevitable connection between institutional investors and corporate idiosyncratic risk. Although the previous literature also involves the relationship between institutional investors and corporate idiosyncratic risk, the conclusions are different because institutional investors are monotonous in the securities market in some studies, and the ＂black box＂ paradigm has been used to analyze the impact of institutional investors on corporate idiosyncratic risk. Corporate idiosyncratic risk is not only related to stock price informativeness, but also the result of noise trading. Institutional investors are not only the informed traders, but also the important force of corporate governance in the securities market, and these two roles have distinct effects on stock price informativeness and noise trading. In fact there are multi-channel impact mechanisms. Based on this idea, using a sample of listed companies in Chinese stock exchanges from 2006 to 2015, and through SEM method analysis, this paperanalyzes the impact of institutional ownership behavior on corporate idiosyncratic risk by the wayof informed trading, noise trading, and corporate governance. And it arrives at the conclusion asfollows： institutional investors affect corporate idiosyncratic risk by the way of combined effects ofstimulation and inhibition. Stimulatory effect means institutional investors as informed traderspromote corporate idiosyncratic risk, and inhibitory effect is that institutional investors reduce thelevel of corporate idiosyncratic risk by the way of a reduction in noise trading and opti

关 键 词：机构持股 特质风险 通径分析 公司治理 噪声交易 

分 类 号：F061.1[经济管理—政治经济学]