机构投资者非基本面交易与企业经营效率  

Institutional Investors'Non-Fundamental Trading and Enterprise Operational Efficiency

作　　者：宁炜 庄园 姜富伟 NING Wei;ZHUANG Yuan;JIANG Fuwei(Southwestern University of Finance and Economics,611130;University of International Business and Economics,100029;Central University of Finance and Economics,102206)

机构地区：[1]西南财经大学金融学院,611130 [2]对外经济贸易大学中国金融学院,100029 [3]中央财经大学金融学院,102206

出　　处：《财贸经济》2024年第5期71-85,共15页Finance & Trade Economics

基　　金：国家社会科学基金重大项目“三重压力下双支柱调控的政策效应评估与优化研究”(22&ZD063);国家自然科学基金面上项目“财务基本面信息与金融风险预测:机器学习与经济理论”(72072193);教育部人文社会科学研究青年基金项目“机构投资者有限注意与管理层行为研究:测度、影响机制与经济后果”(22YJC790195)。

摘　　要：在金融服务实体经济高质量发展背景下,本文以2006-2023年A股非金融与地产上市公司为研究样本,借助公募基金申购赎回数据构建代理变量,分析机构投资者非基本面交易对实体企业经营效率的影响及其微观机制。研究发现,机构投资者基于非基本面动机的交易行为会显著降低企业经营效率,并且对企业劳动生产率和资本生产率都具有显著的负向影响。从微观机制看,机构投资者非基本面交易向股价中引入噪声,会降低股价信息含量,并通过市场学习机制、薪酬激励机制和融资限制机制影响企业经营效率。我们发现国有企业管理层的经营策略和薪酬激励较少受股价影响,且国有企业面临更低的融资约束,因此在抵御外部非基本面冲击方面具有制度优势。本文对现有关于机构投资者实体经济效应的文献提供了有益补充,对我国资本市场高质量发展具有重要的借鉴意义。Although the impact of irrational behavior of institutional investors on financial markets has received widespread attention,we know little about whether their non-fundamental trading behavior can be further transmitted to corporate business operations.Meanwhile,for the high-quality development of financial service,it becomes increasingly important to figure out how the institutional investors behave and how their behavior impacts markets and the real economy.By using mutual-fund subscription and redemption data,we isolated the institutional trading motivated by non-fundamental factors to analyze its exogenous impactonbusiness efficiency.Taking non-financial A-share companies from 2006 to 2023 as our research sample,we found that institutional investors'non-fundamental trading behavior reduced the operating efficiency of enterprises,and had a significant negative impact on both labor productivity and capital utilization efficiency.In terms of underlying mechanisms,we found that institutional investors'non-fundamental trading behavior would increase the stock price noise,reduce stock price information efficiency,and affect firms'operations through market learning,compensation incentives,and financing constraints.Heterogeneity analysis of the ownership attributes of these companies shows that business activities are more robust in SOEs.SOEs are less financially constrained and less sensitive to the stock price,which helps them mitigate the negative impact of institutional investors'non-fundamental trading.This paper contributes to existing literature in the following aspects.First,it reveals a new channel via which institutional investors impact corporate operations.It focuses on how institutional trading driven by non-fundamental factors introduces stock price noises and influences corporate operation decisions.Second,it constructs proxy variables for institutional investors'non-fundamental trading based on fund investors'redemption data,which better overcomes the endogeneity problem.Third,it enriches the literatu

关 键 词：机构投资者 基金赎回 非基本面交易 企业经营效率 

分 类 号：F830.9[经济管理—金融学]