机构投资者持股影响因素的实证研究
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摘要
随着市场经济的不断发展,我国的投资机构迎来了跨越式的发展,已经成为资金雄厚、拥有巨大市场影响力的主体。越来越多人的经济状况与社会保障基金、证券投资基金等机构投资者在资本市场中的投资经营有关。很多学者的研究认为机构投资者的壮大彻底改变了公司的股权结构,改善了传统的公司治理,成为多数发达资本市场建设过程和上市公司治理进程中不可或缺的重要力量。但是在研究中,他们通常没有对机构投资者的身份进行区分,与个人投资者相比,机构投资者是用别人的资金进行投资,在信息不对称的固有矛盾下具有双重的委托代理的身份,这对机构投资者的投资产生影响。本文通过对影响机构投资者持股因素的分析,力图研究出它们在资本市场上的表现和参与公司治理的程度。
首先,在理论上,本文结合委托代理、信息不对称等基础理论,分析机构投资者特殊的双重身份。从上市公司的治理结构上看,机构投资者是它的股东之一,是委托方;而对投资者而言,投资机构主要由融资构成,本身的所有权与经营权也是相分离的,机构投资者的管理层与资金委托人之间也具有委托代理关系,充当代理人的角色。本文在此基础上,对机构投资者的持股决策进行分析,分别从机构投资者的经纪人本质、风险控制、持股特性以及决策选择四个方面进行论述。
其次,本文在实证研究中,选取了2007—2009年度在沪、深两市公开发行A、B、H股的上市公司共2856个作为样本。并对这些样本公司的财务信息、市场表现信息以及公司治理信息与机构投资者持股的比率的相关性进行了实证检验,验证了本文提出的假设,即机构投资者持股与上市公司的财务信息、市场表现信息以及公司治理信息存在着显著的相关关系。
最后,根据研究结论提出建议,我国在大力发展机构投资者的同时,应该不断完善机构投资者管理、监督制度,加强对机构投资者的教育,从而抑制机构投资者在资本市场中的投机行为,提高自身对公司治理的参与程度,发挥其在资本市场中的积极作用。
With the development of market economy , China's institutional investors welcomed the development by leaps and bounds. They have developed into the main financial strength which has a huge influence on the capital market. More and more people's economic situation has relationship with institutional investors’investments in the capital market,such as social security funds,securities investment funds. Many scholars believe that the growth of institutional investors completely changed the ownership structure and improved the traditional corporate governance. Institutional investors have become the most important force in developing capital markets and corporate governance process. But in the study,they usually did not distinguish the identity of institutional investors. Compared with individual investors,institutional investors use other people's money to invest,and they have a double identity of agent under the contradictions of the information asymmetry. This is all impact of institutional investors. On this basis, this paper analyzes the factors of institutional investors holding to try to work out their performance in the capital markets and the degree of participation in corporate governance.
First of all, in theory,this paper refers to the basic theory such as agency theory and asymmetric information theory, and analyzes the special dual role of institutional investors. In the governance structure of listed companies, institutional investors are one of its shareholders and the Principal. For investors, investment institutions are constituted mainly by the financing,and their own ownership and management is also a separation. The management of institutional investors and the client is also a principal-agentrelationship. From this perspective, they are agents. On this basis,the paper analyzes the institutional investors holding decision-making from four aspects as the nature of institutional investors,risk control,ownership characteristics and decision-making choices.
Secondly,in the empirical study, this paper selects total of 2856 listed companies as samples who offering A,B,H shares in Shanghai and Shenzhen stock in 2007-2009. Then,it examines the correlation ratio about the information of these sample companies and institutional investors holding,including financial information,market information and corporate governance performance information. These verify the hypothesis proposed in this paper. Between institutional investors holding and information of listed companies like financial information,market information and corporate governance information is a significant relationship.
Finally,according to research findings to make recommendations, institutional investors should continue to improve the management and supervision system,while our country is to develop institutional investors,enhance the education of institutional investors. Its purpose is to inhibit institutional investors’speculations in the capital market,improve their level of participation in corporate governance,and play their positive roles in the capital market.
首先,在理论上,本文结合委托代理、信息不对称等基础理论,分析机构投资者特殊的双重身份。从上市公司的治理结构上看,机构投资者是它的股东之一,是委托方;而对投资者而言,投资机构主要由融资构成,本身的所有权与经营权也是相分离的,机构投资者的管理层与资金委托人之间也具有委托代理关系,充当代理人的角色。本文在此基础上,对机构投资者的持股决策进行分析,分别从机构投资者的经纪人本质、风险控制、持股特性以及决策选择四个方面进行论述。
其次,本文在实证研究中,选取了2007—2009年度在沪、深两市公开发行A、B、H股的上市公司共2856个作为样本。并对这些样本公司的财务信息、市场表现信息以及公司治理信息与机构投资者持股的比率的相关性进行了实证检验,验证了本文提出的假设,即机构投资者持股与上市公司的财务信息、市场表现信息以及公司治理信息存在着显著的相关关系。
最后,根据研究结论提出建议,我国在大力发展机构投资者的同时,应该不断完善机构投资者管理、监督制度,加强对机构投资者的教育,从而抑制机构投资者在资本市场中的投机行为,提高自身对公司治理的参与程度,发挥其在资本市场中的积极作用。
With the development of market economy , China's institutional investors welcomed the development by leaps and bounds. They have developed into the main financial strength which has a huge influence on the capital market. More and more people's economic situation has relationship with institutional investors’investments in the capital market,such as social security funds,securities investment funds. Many scholars believe that the growth of institutional investors completely changed the ownership structure and improved the traditional corporate governance. Institutional investors have become the most important force in developing capital markets and corporate governance process. But in the study,they usually did not distinguish the identity of institutional investors. Compared with individual investors,institutional investors use other people's money to invest,and they have a double identity of agent under the contradictions of the information asymmetry. This is all impact of institutional investors. On this basis, this paper analyzes the factors of institutional investors holding to try to work out their performance in the capital markets and the degree of participation in corporate governance.
First of all, in theory,this paper refers to the basic theory such as agency theory and asymmetric information theory, and analyzes the special dual role of institutional investors. In the governance structure of listed companies, institutional investors are one of its shareholders and the Principal. For investors, investment institutions are constituted mainly by the financing,and their own ownership and management is also a separation. The management of institutional investors and the client is also a principal-agentrelationship. From this perspective, they are agents. On this basis,the paper analyzes the institutional investors holding decision-making from four aspects as the nature of institutional investors,risk control,ownership characteristics and decision-making choices.
Secondly,in the empirical study, this paper selects total of 2856 listed companies as samples who offering A,B,H shares in Shanghai and Shenzhen stock in 2007-2009. Then,it examines the correlation ratio about the information of these sample companies and institutional investors holding,including financial information,market information and corporate governance performance information. These verify the hypothesis proposed in this paper. Between institutional investors holding and information of listed companies like financial information,market information and corporate governance information is a significant relationship.
Finally,according to research findings to make recommendations, institutional investors should continue to improve the management and supervision system,while our country is to develop institutional investors,enhance the education of institutional investors. Its purpose is to inhibit institutional investors’speculations in the capital market,improve their level of participation in corporate governance,and play their positive roles in the capital market.
引文
[1]中国银河证券基金研究中心.《中国证券投资基金2009年行业统计报告》.凤凰网,http;//finance.ifeng.com/roll/20100107/1675228.shtml
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[3]Carolyn Kay Brancato. Institutional Investors and Corporate Governance; Best Practices for Increasing Corporate Value
[4]Almazan,A.,Hartzell,J.,Starks,L,2005,Active institutional shareholders and cost of monitoring:evidence from executive compensation. Financial Management.
[5]Gillan.S,andStark.S,2007,Relationship Investing and Shareholder Aetivism by Institutional Investors.Working paper,University of Texas.
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[7]王志强.论机构投资者的法律及经济特征.证券市场导报, 2002(2)
[8]万俊毅,机构投资股东:理论、实践与政策,北京,中国经济出版社,2006.
[9]严杰.证券词典.复旦大学出版社,1993
[10]Badrinath,GeraldD.G..,JayantR.Kale,1989,PatternsoflnstitutionalInvestmen,Prudence,and the Managerial safet Net Hypothesis,Joumal of Risk and lnsurance.
[11]Del Guerciu,D.,1996,The Distorting Effect of the Prudent-man Laws of Institutional Equity Investment,Journal of Financial Economics.
[12]O’Brien,P.,and R.Bhushan,1990,Analyst Following and Institutional Ownership,Journal of Accounting Research.
[13]Ferreir,and Matos,1996,Preferences for stoek Charaeteristies as Reealed by Mutual Fund Portfolio Holdings,The Journal of Finane.
[14]Bushee,B.,and Noe,C.,1999,Diselosure Quality,Institutional lnvestor,and stoek Return Volatility,University of Chieago Working PaPer.
[15]Bushee,B.,2001,The Influence of Institutional Investors on Myopic R&D Investment Behavior,The Accounting Review.
[16]Gompers,Paul A.,and A.Metrick,2001,Institutional investors and equity prices,Quarterly Journal of Economics.
[17]Eakins,1998,Institutional portfolio Composition:An Examination of the Prudent Investment Hypothesis,The Quarterly Review of Eeonomies and Finanee.
[18]万俊毅,机构投资股东:理论实践与政策研究.暨南大学博士学位论文,2004
[19]杨德群,蔡明超,施东晖.我国证券投资基金持股特征的实证研究.中南财经政法大学学报,2004(2)
[20]肖光进,陈应征.逆向投资策略在中国股票市场上的可靠性分析.常熟理工学院学报,2007(5)
[21]付森,蔡伟宏.我国基金重仓股选股票好的时期似无关回归分析,海南金融,2008(7)
[22]仲文娜.QFII在中国A股市场中持股偏好的实证研究.硕士学位论文,复旦大学,2008
[23]Khorana,A.,Servaes,H.,Tufano,P.,2005,Explai-ning the size of the mutual fund industry around the world.Journal of Financial Economics.
[24]Gillan.S.,and Stark.S.,2007,Relationship Investing and Shareholder Aetivism by Institutional Investors.Working paper,University of Texas.
[25]ChaoXi,2006,Institutional Shareholder Activism in China:Law and Practice. International Company and Commercial Law Review.
[26]殷春红,曹玉贵,机构股东积极主义博弈分析及政策建议.北京理工大学学报(社会科学版),2006(3)
[27]高雷,何少华,殷树喜.中国基金管理人持股偏好实证研究.中国会计与财务研究,2006(2)
[28]王永海,王铁林,李青原.机构投资者参与公司治理积极性的分析.南开管理评论,2007(1)
[29]李维安,李滨.机构投资者介入公司治理效果的实证研究—基于CCGI的经验研究.南开管理评论,2008 (1)
[30]中国证券业监督管理委员会.合格境内机构投资者境内证券投资管理试行办法,2006
[31]中国证券业监督管理委员会.合格境外机构投资者境内证券投资管理试行办法,2006
[32]中国保险监督管理委员会.保险资金运用管理暂行办法,2010
[33]Shefrin , H. and M.Statman , 1995 , Making Sense of Beta , Size and Book-to-market,Journal of Portfolio Management.
[34]Badrinath,GeraldD.G.,JayantR.Kale,1989,PatternsoflnstitutionalInvestmen,Prudence,and the Managerial safet Net Hypothesis,Joumal of Risk and lnsurance.
[35]Eakins,S.,R.Stanley,and E.Paul,1998,Institutional Portfolio Composition;an Examination of the Prudent Investment Hypothesis,The Quarterly Review of Economics and Finance.
[36]陆宇峰.净资产倍率和市盈率的投资决策有用性一基于“费森一奥尔森估值模型”实证研究.上海财经大学博士学位论文,1999
[37]Gompers,2001,Institutional investors and equity prices,Quarterly Journal of Economics.
[38]沈艺峰,肖珉,黄娟娟.中小投资者法律保护与公司权益资本成本.经济研究,2005(2)
[39]陈小悦,徐晓东.股权结构、企业绩效与投资者利益保护.经济研究,2001 (11)
[40]刘峰,贺建刚.股权结构与大股东利益实现方式的选择—中国资本市场利益输送的初步研究.中国会计评论,2004(1)
[41]Falkenstein,G.E.,1996,Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,Journal of Finance.
[42]Fan,P.H.,and T.J.Wong,2002,Corporate Ownership Structure and the Informativeness of Accounting Earnings in East Asia , Journal of Accounting Economics.
[43]Gebhardt,W.,C.Lee,and B.Swaminathan,2001,Toward an Implied Cost of Capital,Journal of Accounting Research.
[44]朱宏泉,马晓维,李亚静,段妮妮,朱宏志.基金投资者投资行为影响因素研究.金融管理,2009(10)
[45]宋玉,雷国洲.机构投资者持股特征研究述评.湖北经济学院学报,2008(11)
[46]陈卓思,高峰,祁斌.机构投资者交易行为特征研究.金融研究,2008(4)
[47]娄伟.基金持股与上市公司业绩相关性的实证研究.上海经济研究,2002
[48]李映照,黄琳.从增持行为看机构投资者持股偏好.财会月刊,2010(10)
[49]申景奇.机构投资者投资行为行业比较分析.财会通讯,2010(7)
[50]王奇波,宋常.国外关于最优股权结构与股权制衡的文献综述.会计研究,2006(1)
[51]贺建刚、刘峰.大股东控制、利益输送与投资者保护—基于上市公司资产收购关联交易的实证研究.中国会计与财务研究,2005(3)
[52]王琨,肖星.机构投资者持股与关联方占用的实证研究.南开管理评论,2005(2)
[53]郝颖,刘星.基于公司治理视角的企业投资行为研究.财经科学,2010(9)
[2]Bushee,B.,1998,The Influence of Institutional Investors on Myopic R&D Investment Behavior,The Accounting Review.
[3]Carolyn Kay Brancato. Institutional Investors and Corporate Governance; Best Practices for Increasing Corporate Value
[4]Almazan,A.,Hartzell,J.,Starks,L,2005,Active institutional shareholders and cost of monitoring:evidence from executive compensation. Financial Management.
[5]Gillan.S,andStark.S,2007,Relationship Investing and Shareholder Aetivism by Institutional Investors.Working paper,University of Texas.
[6]王炯.股票所有结构的国际比较及其对我国的启示.外国经济与管理,2000,(4)
[7]王志强.论机构投资者的法律及经济特征.证券市场导报, 2002(2)
[8]万俊毅,机构投资股东:理论、实践与政策,北京,中国经济出版社,2006.
[9]严杰.证券词典.复旦大学出版社,1993
[10]Badrinath,GeraldD.G..,JayantR.Kale,1989,PatternsoflnstitutionalInvestmen,Prudence,and the Managerial safet Net Hypothesis,Joumal of Risk and lnsurance.
[11]Del Guerciu,D.,1996,The Distorting Effect of the Prudent-man Laws of Institutional Equity Investment,Journal of Financial Economics.
[12]O’Brien,P.,and R.Bhushan,1990,Analyst Following and Institutional Ownership,Journal of Accounting Research.
[13]Ferreir,and Matos,1996,Preferences for stoek Charaeteristies as Reealed by Mutual Fund Portfolio Holdings,The Journal of Finane.
[14]Bushee,B.,and Noe,C.,1999,Diselosure Quality,Institutional lnvestor,and stoek Return Volatility,University of Chieago Working PaPer.
[15]Bushee,B.,2001,The Influence of Institutional Investors on Myopic R&D Investment Behavior,The Accounting Review.
[16]Gompers,Paul A.,and A.Metrick,2001,Institutional investors and equity prices,Quarterly Journal of Economics.
[17]Eakins,1998,Institutional portfolio Composition:An Examination of the Prudent Investment Hypothesis,The Quarterly Review of Eeonomies and Finanee.
[18]万俊毅,机构投资股东:理论实践与政策研究.暨南大学博士学位论文,2004
[19]杨德群,蔡明超,施东晖.我国证券投资基金持股特征的实证研究.中南财经政法大学学报,2004(2)
[20]肖光进,陈应征.逆向投资策略在中国股票市场上的可靠性分析.常熟理工学院学报,2007(5)
[21]付森,蔡伟宏.我国基金重仓股选股票好的时期似无关回归分析,海南金融,2008(7)
[22]仲文娜.QFII在中国A股市场中持股偏好的实证研究.硕士学位论文,复旦大学,2008
[23]Khorana,A.,Servaes,H.,Tufano,P.,2005,Explai-ning the size of the mutual fund industry around the world.Journal of Financial Economics.
[24]Gillan.S.,and Stark.S.,2007,Relationship Investing and Shareholder Aetivism by Institutional Investors.Working paper,University of Texas.
[25]ChaoXi,2006,Institutional Shareholder Activism in China:Law and Practice. International Company and Commercial Law Review.
[26]殷春红,曹玉贵,机构股东积极主义博弈分析及政策建议.北京理工大学学报(社会科学版),2006(3)
[27]高雷,何少华,殷树喜.中国基金管理人持股偏好实证研究.中国会计与财务研究,2006(2)
[28]王永海,王铁林,李青原.机构投资者参与公司治理积极性的分析.南开管理评论,2007(1)
[29]李维安,李滨.机构投资者介入公司治理效果的实证研究—基于CCGI的经验研究.南开管理评论,2008 (1)
[30]中国证券业监督管理委员会.合格境内机构投资者境内证券投资管理试行办法,2006
[31]中国证券业监督管理委员会.合格境外机构投资者境内证券投资管理试行办法,2006
[32]中国保险监督管理委员会.保险资金运用管理暂行办法,2010
[33]Shefrin , H. and M.Statman , 1995 , Making Sense of Beta , Size and Book-to-market,Journal of Portfolio Management.
[34]Badrinath,GeraldD.G.,JayantR.Kale,1989,PatternsoflnstitutionalInvestmen,Prudence,and the Managerial safet Net Hypothesis,Joumal of Risk and lnsurance.
[35]Eakins,S.,R.Stanley,and E.Paul,1998,Institutional Portfolio Composition;an Examination of the Prudent Investment Hypothesis,The Quarterly Review of Economics and Finance.
[36]陆宇峰.净资产倍率和市盈率的投资决策有用性一基于“费森一奥尔森估值模型”实证研究.上海财经大学博士学位论文,1999
[37]Gompers,2001,Institutional investors and equity prices,Quarterly Journal of Economics.
[38]沈艺峰,肖珉,黄娟娟.中小投资者法律保护与公司权益资本成本.经济研究,2005(2)
[39]陈小悦,徐晓东.股权结构、企业绩效与投资者利益保护.经济研究,2001 (11)
[40]刘峰,贺建刚.股权结构与大股东利益实现方式的选择—中国资本市场利益输送的初步研究.中国会计评论,2004(1)
[41]Falkenstein,G.E.,1996,Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,Journal of Finance.
[42]Fan,P.H.,and T.J.Wong,2002,Corporate Ownership Structure and the Informativeness of Accounting Earnings in East Asia , Journal of Accounting Economics.
[43]Gebhardt,W.,C.Lee,and B.Swaminathan,2001,Toward an Implied Cost of Capital,Journal of Accounting Research.
[44]朱宏泉,马晓维,李亚静,段妮妮,朱宏志.基金投资者投资行为影响因素研究.金融管理,2009(10)
[45]宋玉,雷国洲.机构投资者持股特征研究述评.湖北经济学院学报,2008(11)
[46]陈卓思,高峰,祁斌.机构投资者交易行为特征研究.金融研究,2008(4)
[47]娄伟.基金持股与上市公司业绩相关性的实证研究.上海经济研究,2002
[48]李映照,黄琳.从增持行为看机构投资者持股偏好.财会月刊,2010(10)
[49]申景奇.机构投资者投资行为行业比较分析.财会通讯,2010(7)
[50]王奇波,宋常.国外关于最优股权结构与股权制衡的文献综述.会计研究,2006(1)
[51]贺建刚、刘峰.大股东控制、利益输送与投资者保护—基于上市公司资产收购关联交易的实证研究.中国会计与财务研究,2005(3)
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