机构投资者网络与资产误定价:激浊扬清抑或推波助澜  

Institutional Investor Network and Asset Mispricing:Eliminate the Impure from the Pure or Aggravate a Complicated Situation

作　　者：毕鹏[1] 王丽丽 Bi Peng;Wang Lili(School of Economics and Management,Jiamusi University,Jiamusi 154007,Heilongjiang,China;School of Economics and Management,Taishan University,Tai'an 271000,Shandong,China;Research Center for Corporate Governance and Management Innovation,Shihezi University,Shihezi 832003,Xinjiang,China)

机构地区：[1]佳木斯大学经济与管理学院,黑龙江佳木斯154007 [2]泰山学院经济管理学院,山东泰安271000 [3]石河子大学经济与管理学院,新疆石河子832003

出　　处：《金融发展研究》2022年第5期39-48,共10页Journal Of Financial Development Research

基　　金：国家自然科学基金项目“分析师关注与资产定价效率——基于会计异象的视角”(71862029);国家自然科学基金项目“‘中国之治’的政府行为与企业创新:基于‘国家队’持股的研究”(72062027)。

摘　　要：我国资本市场上长期存在的资产价格“异象”一直备受学者关注。本文借助社会网络算法,以2010—2020年我国A股上市公司为研究样本,探究机构投资者网络对资产误定价产生的影响。研究发现,机构投资者网络与资产误定价呈现显著负相关关系,在有效缓解内生性并经稳健性测试后,结论仍然成立。机制研究表明:一方面,机构投资者网络强化了信息传递功能,通过提高股票流动性水平缓解资产误定价;另一方面,机构投资者网络提升了公司治理水平,通过提高上市公司信息披露质量进而缓解资产误定价。进一步分析表明,内控质量、分析师关注度与市场化进程发挥了负向调节作用;产权性质起到了正向调节作用。经济后果显示,机构投资者网络通过缓解资产误定价、提高资产定价效率、促进资源要素合理配置进而提升企业全要素生产率。本文拓展了资产误定价的影响因素研究,对提高我国资本市场定价效率、防范金融风险具有重要的现实意义,也为社会网络与资本市场交叉融合的相关研究提供了理论与现实证据。The long-standing"anomaly"of asset price in China's capital market has always been concerned by the scholars.With the help of social network algorithm,this paper takes China's A-share listed companies from 2010 to 2020 as the research sample to explore the impact of institutional investor network on asset mispricing.It is found that there is a significant negative correlation between institutional investor network and asset mispricing.After effectively alleviating the endogeneity and robustness test,the conclusion is still valid.The mechanism research shows that:on the one hand,the institutional investor network strengthens the function of information transmission and alleviates asset mispricing by improving the level of stock liquidity;on the other hand,the network of institutional investors improves the level of corporate governance and alleviates asset mispricing by improving the quality of information disclosure of listed companies.Further analysis shows that the quality of internal control,the attention of analysts and the process of marketization have played a negative regulatory role;while the nature of property rights plays a positive regulatory role.The economic consequences show that institutional investor networks improve the total factor productivity of firms by mitigating asset mispricing,improving asset pricing efficiency,and facilitating the rational allocation of resource factors.This paper expands the research on the influencing factors of asset mispricing,which is of great practical significance to improve the pricing efficiency of China's capital market and prevent financial risks.It also provides theoretical and practical evidence for the research on the cross integration of social network and capital market.

关 键 词：股票流动性 信息披露质量 全要素生产率 

分 类 号：F830.91[经济管理—金融学]