中国机构投资者的学习机制研究--理性贝叶斯还是简单强化式学习  

The Learning Mechanism of Chinese Institutional Investors:Rational Bayes or Simple Reinforcement Learning?

作　　者：邵新建[1,2] 王慧强 王兴春 覃家琦 SHAO Xinjian;WANG Huiqiang;WANG Xingchun;QIN Jiaqi(School of International Trade and Economics,University of International Business and Economics;School of Finance,Nankai University)

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029 [2]南开大学金融学院,天津300071

出　　处：《金融研究》2022年第4期188-206,共19页Journal of Financial Research

基　　金：国家自然科学基金(71872044,11701084,71772091)的资助。

摘　　要：理论文献通常假设机构投资者遵循理性贝叶斯法则更新其信念,在此学习模式下,盈亏经验本身并不能直接影响机构行为。但该假设的合理性尚未得到实证研究的充分支持。中国新股发行中的抽签分配制度为检验上述命题提供了比较理想的随机实验机会。本文基于新股抽签分配数据,系统检验了随机的盈亏经验对机构投资行为的影响,结果发现:(1)机构投资者显著受制于幼稚的强化式学习机制的影响,即通过随机抽签在前期获得新股分配的机构(处置组)相对未获配机构(控制组),其下期参与新股申购的概率显著提高,并且前期收益率能够有效地强化这种盈利经历与参与概率之间的正向关系。(2)盈亏经验能够显著改变专业机构的估值信念,即前期通过随机抽签获得高收益体验的机构相对未获配机构,在后续新股询价过程中给出了显著更高的报价上调水平。(3)盈亏经验对机构行为产生影响的一种可能渠道是借助机构投资管理人的强化式学习过程,基于基金经理个人特征变量的调节机制研究表明,丰富的长期从业经验、高学历的教育水平以及多位基金经理的相互竞争都能在一定程度上缓解盈亏经历对基金行为的影响。本文基于随机实验的设计为经验与行为之间的因果关系提供了可信证据,证实了即使是被奉为理性投资者代表的专业机构也会受制于简单强化式学习的显著影响。The theoretical literature on financial economics usually assumes that rational investors follow the Bayesian learning method—that is,if an investor's personal experience cannot contain new information,it cannot affect the investor's belief-updating process.Professional institutional investors have inherent advantages over individual investors in terms of information acquisition and processing,investment decision-making mechanisms,and internal governance methods,and are therefore considered rational investors.However,a key question remains:do professional institutions follow rational Bayesian learning or reinforcement learning in their decision-making on investments?Given the random allocation of investors'profit and loss generated by the lottery system used to issue initial public offering(IPO)investments in China,this paper uses IPO lottery allocation data provided by the Shenzhen Stock Exchange to empirically test the effect of experience on the decision-making behavior of institutional investors.First,it tests whether institutional investors'previous earnings experience affects their tendency to participate in subsequent IPOs.Then,it tests whether the previous loss experience of institutional investors affects their quotations for subsequent IPOs.Finally,it examines whether the personal characteristics of fund managers can influence the effect of previous loss experience on institutional behavior.The main conclusions of this research are as follows.(1)Institutional investors do not completely follow a rational Bayesian learning method but do follow a naïve reinforcement-learning method.Specifically,institutions that are allocated the winning bid at an early stage are significantly more likely to participate in subsequent IPO subscriptions than institutions that are not.In addition,the higher the rate of return of new shares issued in the previous period,the stronger the positive relationship between the allocation experience and subsequent participation in IPO subscriptions.(2)The income experience of inst

关 键 词：机构投资者 强化式学习 经验 首次公开发行上市 

分 类 号：F832.51[经济管理—金融学]