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。
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.
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