新兴市场机构持股占比对股票收益率偏度的影响机制研究  

The Study on the Influence Mechanism of In-stitutional Ownership Proportion on Stock Return Skewness in Emerging Markets

作　　者：陈倩 马亚东 高翔 

机构地区：[1]深圳北理莫斯科大学经济系,广东 深圳 [2]平安证券固定收益部,广东 深圳 [3]上海商学院财务金融学院,上海

出　　处：《金融》2023年第2期309-333,共25页Finance

摘　　要：近年来我国股票市场极端风险现象频发,这对投资组合风险管理和金融市场稳定都提出了严峻挑战。随着机构投资者在中国股票市场投资所占比重越来越高,其对度量股票崩盘风险的股票收益率偏度之影响的重要性也在不断增强。本文基于我国A股市场2008~2017年间3559家上市公司的数据,研究了中国市场机构投资者占比和企业股票未来崩盘风险之间的关系。实证结果发现数个规律。首先,总体看来机构投资者持股与股票未来暴跌风险显著负相关。但进一步研究发现相关性的方向取决于机构投资者的类型。其次,机构投资者通过影响公司的财务不透明度来影响股票收益率的偏度——积极主动型机构投资者的较高持股占比降低了财务不透明度对暴跌风险的正影响,而代表被动投资者的公募基金的较高占比加强了这种影响。最后,机构持股可能会放大由过度乐观所导致的分析师覆盖对标的股票暴跌风险的正向影响。The extreme events that happened in China’s stock market in recent years present a serious challenge to the management of portfolio risks and the stability of financial markets. With an increasing proportion of institutional participants in the Chinese stock market, the importance of institutional investors’ influence on the skewness of stock returns, which can serve as a measure of stock crash risk, is also increasing. This paper investigates the relationship between the institutional ownership in Chinese publicly-listed firms’ stock and the stock’s future crash risk based on the data of 3559 firms listed in China’s A-share market between 2008 and 2017. The empirical results find several regularities. First, institutional ownership is overall significantly negatively correlated with the stock’s future crash risk. However, a closer inspection reveals the direction of the correlation depends on the types of institutional investors. Second, institutional investors influence the skewness of stock returns by affecting the firm’s financial opacity—a higher proportion of activist institutional investor ownership reduces the positive influence of financial opacity on crash risk, while that of mutual funds as passive investors strengthens such influence. Last but not least, institutional ownership may amplify the positive effect of analyst coverage on the stock's crash risk caused by over-optimism.

关 键 词：收益率偏度 机构持股 分析师覆盖 财务不透明度 监管 

分 类 号：F83[经济管理—金融学]