机构投资者、私有信息传递与投资-股价敏感性——基于盈余公告期间净买入的研究  

Institutional Investor,Private Information Transfer and Investment-Price Sensitivity:Evidence from Institutional Investors'Net Buying during the Period of Earnings Announcements

作　　者：张萌 魏云捷[2,3] 张永珅 Zhang Meng;Wei Yunjie;Zhang Yongshen(School of Accountancy,Henan University of Economics and Law,Zhengzhou 450046;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190;School of Accountancy,Central University of Finance and Economics,Beijing 100081)

机构地区：[1]河南财经政法大学会计学院,郑州450046 [2]中国科学院数学与系统科学研究院,北京100190 [3]中国科学院预测科学研究中心,北京100190 [4]中央财经大学会计学院,北京100081

出　　处：《管理评论》2022年第5期265-280,共16页Management Review

基　　金：国家自然科学基金青年科学基金项目(71801213);国家自然科学基金面上项目(72171223);河南省哲学社会科学规划项目(2021CJJ125)。

摘　　要：本文基于2012—2019年盈余公告期间机构投资者净买入的日度数据,对机构投资者净买入是否提升公司的投资—股价敏感性进行研究。结果发现,盈余公告期间,机构投资者的净买入能显著提升公司投资—股价敏感性,其可能的作用机制是通过传递私有信息,进而提高公司的投资—股价敏感性。机构投资者对公司投资—股价敏感性的影响在盈余公告是好消息、分析师关注度低的情况下更显著。进一步,这种正相关关系在公司年龄小、融资约束程度低以及市场竞争程度高的组中更显著。最后,本文的结果在通过改变度量方式、改变窗口期、考虑盈余公告漂移情况等各种稳健性检验之后仍然成立。研究结论证明了机构投资者净买入对实体经济的反馈效应,对我国金融服务实体经济系列改革有重要启示。Based on the daily data of institutional investor's net buying within the earning announcement period from 2012 to 2019,this paper studies whether institutional investors'net buying increase the company's investment-price sensitivity.The result shows that during the period of earnings announcements,institutional investors'net buying significantly increase the company's investment-price sensitivity.The channel analysis indicates that the company's investment is associated with the private information transferring.We also find that the impact of institutional investor's net buying on investment-price sensitivity is more significant when good earning news is announced,and the company is not covered extensively by analysts.Furthermore,this positive correlation is more significant when the company is young,financial constraints are not harsh and market competition is drastic.The research proves the feedback effect of institutional investors'net buying on the real economy.

关 键 词：机构投资者 净买入 反馈效应 盈余公告 

分 类 号：F832.51[经济管理—金融学] F275