个体与机构投资者,谁左右A股股价变化?——基于投资者异质信念的视角

doi:10.16381/j.cnki.issn1003-207x.2018.04.014

中国管理科学 ›› 2018, Vol. 26 ›› Issue (4): 120-130.doi: 10.16381/j.cnki.issn1003-207x.2018.04.014

个体与机构投资者,谁左右A股股价变化?——基于投资者异质信念的视角

刘燕^1,2, 朱宏泉¹

1. 西南交通大学经济管理学院, 四川成都 610031;
2. 重庆理工大学经济金融学院, 重庆 400054

收稿日期:2016-09-22 修回日期:2017-04-24 出版日期:2018-04-20 发布日期:2018-06-22
通讯作者: 刘燕(1980-),女(汉族),河南人,重庆理工大学经济金融学院讲师,博士研究生,研究方向:资产定价、金融市场与机构,E-mail:yliu_cq@163.com E-mail:yliu_cq@163.com
基金资助:
国家自然科学基金资助项目（71473206，71773100）；教育部人文社会科学研究青年基金项目（16YJC790066）；重庆市教育委员会人文社会科学研究项目（17SKG139）

Individual Investor or Institutional Investor, Who Dominates Asset Pricing in Chinese A-share Stock Market?

LIU Yan^1,2, ZHU Hong-quan¹

1. School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China;
2. School of Economics and Finance, Chongqing University of Technology, Chongqing 400054, China

Received:2016-09-22 Revised:2017-04-24 Online:2018-04-20 Published:2018-06-22

摘要/Abstract

摘要： 在成熟的资本市场，机构投资者一直都被视作资产定价的主体。但在个体投资者众多的中国证券市场，个体投资者与机构投资者谁左右A股股价的变化?则是人们关注的热点话题。本文从投资者异质信念的视角，构建个体投资者与机构投资者未预期交易量两个异质信念测度指标，对比分析二者与股票收益的相关性。结果表明，个体投资者与机构投资者的异质信念与股票当期收益显著正相关、与未来一期收益显著负相关，但个体投资者异质信念的作用更强；进一步，异质信念对小公司、价值型公司收益的影响更明显；当控制了规模、价值等风险因子，以及不同时间区间和是否可以卖空等市场影响因素后，结论依然成立。表明在现阶段的中国A股市场，个体投资者的异质信念仍是左右股票定价的主要因素。

关键词: 异质信念, 个体投资者, 未预期交易量, 资产定价

Abstract: In the mature capital market, the institutional investors have been regarded as an important factor in asset pricing. In China, the proportion of individual investors is more than 99.6%. An individual investor or an institutional investor, who has more influence on A-share stock?The answer is becoming important in asset pricing efficiency in Chinese A-share stock market. The investors' heterogeneous belief is one of the key factors in asset pricing. In this paper, the individual investors' unexpected trading volume (HBR_I) and the institutional investors' unexpected trading volume (HBR_B) are employed as proxies for heterogeneous belief, and uncovers the relationship between the two proxies and stock returns in Chinese A-share stock market. The result shows that stock returns are more significantly related to the individual investor unexpected trading volume than the institutional investors' unexpected trading volume even if considering the factors of size, book-to-market and short-sale constraint. Our findings suggest that the individual investors' heterogeneous beliefs can explain the stock return effectively in Chinese A-share stock markets.

Key words: heterogeneous belief, individual investor, unexpected trading volume, asset pricing

中图分类号:

F830

刘燕, 朱宏泉. 个体与机构投资者,谁左右A股股价变化?——基于投资者异质信念的视角[J]. 中国管理科学, 2018, 26(4): 120-130.

LIU Yan, ZHU Hong-quan. Individual Investor or Institutional Investor, Who Dominates Asset Pricing in Chinese A-share Stock Market?[J]. Chinese Journal of Management Science, 2018, 26(4): 120-130.

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个体与机构投资者,谁左右A股股价变化?——基于投资者异质信念的视角

Individual Investor or Institutional Investor, Who Dominates Asset Pricing in Chinese A-share Stock Market?

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