投资者结构是中国股票市场定价因子吗?  

Is Investor Structure a Pricing Factor in China's Stock Market?

作　　者：李新[1] 梁伟 周率 Li Xin;Liang Wei;Zhou Lv

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《证券市场导报》2023年第11期68-79,共12页Securities Market Herald

摘　　要：机构投资者持股比例可能会影响股票的预期收益,本文尝试探究投资者结构是否是中国股票市场定价因子。本文利用A股数据构建投资者结构因子,并将该因子加入Carhart四因子模型中进行实证回归。研究发现:(1)投资者结构是沪深股票市场定价因子,该结论通过了稳健性检验;(2)相对于沪深主板市场,创业板与科创板市场的投资者结构因子溢价更高;(3)新冠疫情提高了沪深股票市场的投资者结构因子溢价。本文补充了A股市场在资产定价方面的研究,为A股市场投资端改革提供了经验证据。The shareholding ratio of institutional investors may affect the expected stock return.This paper investigates whether investor structure is a pricing factor in China's stock market.We use the A-share data to construct an investor structure factor and include this factor into the Carhart four-factor model to conduct empirical regression analysis.Our findings are summarized as follows.(1) The investor structure is a pricing factor in the Shanghai and Shenzhen stock markets,and the finding passes the robustness test.(2) The investor structure factor in the Star Board and the ChiNext Board markets earns a higher premium relative to that in the Shanghai and Shenzhen Main Board markets.(3) The COVID-19 Pandemic raises the premium of the investor structure factor in the Shanghai and Shenzhen stock markets.This paper complements research on the A-share market in the area of asset pricing and provides empirical evidence for the investment side reform of the A-share market.

关 键 词：投资者结构 因子模型 资产定价 上市板块 疫情冲击 

分 类 号：F832.5[经济管理—金融学]