持股集中度变化对股票收益反转现象的影响研究  

Study on the Impact of Changes in Ownership Concentration on the Phenomenon of Stock Returns Reversal

作　　者：胡阳 郑晓娜 李能飞 HU Yang;ZHENG Xiaona;LI Nengfei

机构地区：[1]天津商业大学会计学院 [2]天津财经大学会计学院

出　　处：《价格理论与实践》2023年第7期164-167,211,共5页Price:Theory & Practice

基　　金：教育部青年基金项目:“股权质押信息披露的经济后果研究——基于实验和实证方法的混合证据”,项目编号:18YJC630135。

摘　　要：当股市持续低迷或持续高涨时,机构投资者常常作为“逆行者”进行逆向交易,这种逆向交易与股票收益反转现象密切相关。本文从持股集中度变化视角切入,探究其对股票收益反转现象的影响。研究发现:持股集中度由分散向集中变化时会带来股票收益正反转;持股集中度由集中向分散变化时会带来股票收益负反转;随时间窗口的扩大,持股集中度变化对股票收益反转的影响逐渐减弱。基于此,监管部门应鼓励机构投资者进行长期投资,并恰当使用反转交易策略,保障股票市场健康运行;企业应注重自身长远发展,提升股票内在价值。When the stock market continues to be depressed or continues to rise,institutional investors often act as“retrograde movers”to reverse trade,which is closely related to the phenomenon of stock returns reversal.This paper will explore the impact of the change of stock concentration on the phenomenon of stock returns reversal from the perspective of the change of holding concentration.It is found that when the concentration of holdings changes from dispersion to concentration,it will bring positive and reverse stock returns.When the concentration of holdings changes from concentration to dispersion,it will bring about a negative reversal of stock returns;With the expansion of the time window,the impact of changes in the concentration of holdings on the reversal of stock returns has gradually weakened.Based on this,market regulators should encourage institutional investors to make long-term investments and use inverse trading strategies appropriately to ensure the stable and effective operation of the stock market;enterprises should focus on their long-term development and enhance the intrinsic value of their stocks.

关 键 词：持股集中度变化 机构投资者 反转现象 超额收益率 

分 类 号：F832.51[经济管理—金融学]