公开信息、投资期限与股价高估
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摘要
在市场做空受限的情况下,机构投资者对于正面公开信息的过度反应会导致股价的高估,其高估程度可能受到机构投资期限的影响。文章基于2004-2018年我国A股市场和公募证券投资基金市场数据,对正面公开信息、机构投资期限与股票价格的关系进行了实证分析。结果表明:(1)在市场做空受限的情况下,正面公开信息使受短期机构投资者青睐的股票出现更严重的价格高估;(2)在市场处于牛市时,股价高估程度在机构投资期限上的差异显著,而在熊市时则不显著;(3)在投资决策过程中,短期机构投资者比长期机构投资者更倚重公开信息。这可作为股价高估程度因机构投资期限不同而存在差异的一个解释。文章丰富了机构投资者行为与市场稳定之间关系的研究,拓展了社会关系网络理论在投资者行为分析中的应用,为监管部门有针对性地制定市场稳定措施提供了理论与方法依据。
Institutional investors have become the dominant force in China's stock market and play an important role in stabilizing the market and improving its efficiency. There are obvious distinctions in investment objectives,trading strategies and decision-making approach between short-term and long-term institutional investors,so it is necessary to distinguish them when exploring the relationship between institutional investors and the market stability. Positive public information often keeps investors in optimistic mind and leads to overvaluation of stocks. In the absence of short-selling constraints,stock mispricing will not be corrected by the market in time,so that overvaluation becomes obvious and persistent. Institutional investors with different term usually respond differently to the same information,which may lead to different extent of overvaluation.This paper examines whether there is a difference in the extent of overvaluation among the stocks of different investment term. It also examines whether this difference is affected by the overall market quotation,and whether the institutional investors of different term attach different importance to positive public information.The results suggest that,positive public information leads to more serious overvaluation of the stocks favored by short-term institutional investors when the market is short-sale constrained. The stocks with shorter term have higher cumulative returns during the issuance of positive analyst ratings. The difference in the extent of overvaluation among the stocks of different term is significant in the bull market,but no longer significant in the bear market. This may be because institutional investors(both long-term and short-term)are cautiously optimistic about positive public information in the bear market,and as the prices of stocks generally declined,previously excluded "pessimistic" investors can enter the market. Short-term institutional investors are more reliant on public information than long-term institutional investors when they make decisions,which may be seemed as an explanation for the above phenomena. These results show that the short-term behavior of institutional investors aggravates market volatility,which is an important reason for stock price bubbles. Regulatory authorities can identify institutional investors according to investment term and the role of information dissemination. The relationship between short-selling constraints and stock overvaluation has been extensively studied. On this basis,we further explore the relationship between institutional investment term and stock overvaluation. It is always difficult to separate the effect of public information from private information when making an analysis on the impact of market information on institutional investors' decision-making. We attempt to solve this problem by introducing the social network analysis into the study of institutional investors' decisionmaking behavior. We explore the impact of positive public information on institutional investors' valuation and trading behavior,which advances the research on the relationship between institutional investors' decision-making behavior and the stability of the capital market,and also provides a reference for institutional investors to formulate relevant strategies.
Institutional investors have become the dominant force in China's stock market and play an important role in stabilizing the market and improving its efficiency. There are obvious distinctions in investment objectives,trading strategies and decision-making approach between short-term and long-term institutional investors,so it is necessary to distinguish them when exploring the relationship between institutional investors and the market stability. Positive public information often keeps investors in optimistic mind and leads to overvaluation of stocks. In the absence of short-selling constraints,stock mispricing will not be corrected by the market in time,so that overvaluation becomes obvious and persistent. Institutional investors with different term usually respond differently to the same information,which may lead to different extent of overvaluation.This paper examines whether there is a difference in the extent of overvaluation among the stocks of different investment term. It also examines whether this difference is affected by the overall market quotation,and whether the institutional investors of different term attach different importance to positive public information.The results suggest that,positive public information leads to more serious overvaluation of the stocks favored by short-term institutional investors when the market is short-sale constrained. The stocks with shorter term have higher cumulative returns during the issuance of positive analyst ratings. The difference in the extent of overvaluation among the stocks of different term is significant in the bull market,but no longer significant in the bear market. This may be because institutional investors(both long-term and short-term)are cautiously optimistic about positive public information in the bear market,and as the prices of stocks generally declined,previously excluded "pessimistic" investors can enter the market. Short-term institutional investors are more reliant on public information than long-term institutional investors when they make decisions,which may be seemed as an explanation for the above phenomena. These results show that the short-term behavior of institutional investors aggravates market volatility,which is an important reason for stock price bubbles. Regulatory authorities can identify institutional investors according to investment term and the role of information dissemination. The relationship between short-selling constraints and stock overvaluation has been extensively studied. On this basis,we further explore the relationship between institutional investment term and stock overvaluation. It is always difficult to separate the effect of public information from private information when making an analysis on the impact of market information on institutional investors' decision-making. We attempt to solve this problem by introducing the social network analysis into the study of institutional investors' decisionmaking behavior. We explore the impact of positive public information on institutional investors' valuation and trading behavior,which advances the research on the relationship between institutional investors' decision-making behavior and the stability of the capital market,and also provides a reference for institutional investors to formulate relevant strategies.
引文
[1]陈国进,张贻军,刘淳.机构投资者是股市暴涨暴跌的助推器吗?--来自上海A股市场的经验证据[J].金融研究,2010,(11):45-59.
[2]陈新春,刘阳,罗荣华.机构投资者信息共享会引来黑天鹅吗?--基金信息网络与极端市场风险[J].金融研究,2017,(7):140-155.
[3]黄顺武,雷磊.分析师评级的机构持股效应研究[J].贵州财经大学学报,2015,(2):12-20.
[4]李科,徐龙炳,朱伟骅.卖空限制与股票错误定价--融资融券制度的证据[J].经济研究,2014,(10):165-178.
[5]刘京军,苏楚林.传染的资金:基于网络结构的基金资金流量及业绩影响研究[J].管理世界,2016,(1):54-65.
[6]刘京军,徐浩萍.机构投资者:长期投资者还是短期机会主义者?[J].金融研究,2012,(9):141-154.
[7]罗衎,王春峰,房振明.股票卖方分析师报告是信息还是噱头?基于市场微观结构理论视角[J].预测,2017,(4):56-62.
[8]史永东,李凤羽.卖空限制、意见分歧收敛与信息披露的股价效应--来自A股市场的经验证据[J].金融研究,2012,(8):111-124.
[9]史永东,王谨乐.中国机构投资者真的稳定市场了吗?[J].经济研究,2014,(12):100-112.
[10]肖峻.股市周期与基金投资者的选择[J].经济学(季刊),2013,(3):1299-1320.
[11]肖欣荣,刘健,赵海健.机构投资者行为的传染--基于投资者网络视角[J].管理世界,2012,(12):35-45.
[12]徐浩峰,朱松.机构投资者与股市泡沫的形成[J].中国管理科学,2012,(4):18-26.
[13]Asquith P,Pathak P A,Ritter J R.Short interest,institutional ownership,and stock returns[J].Journal of Financial Economics,2005,78(2):243-276.
[14]Barber B,Lehavy R,Mcnichols M,et al.Can investors profit from the prophets?Security analyst recommendations and stock returns[J].Journal of Finance,2001,56(2):531-563.
[15]Black F.Noise[J].Journal of Finance,1986,41(3):529-543.
[16]Chopra N,Lakonishok J,Ritter J R.Measuring abnormal performance:Do stocks overreact?[J].Journal of Financial Economics,1992,31(2):235-268.
[17]Cohen L,Frazzini A,Malloy C.The small world of investing:Board connections and mutual fund returns[J].Journal of Political Economy,2008,116(5):951-979.
[18]Cremers M,Pareek A,Sautner Z.Short-term instituions,analyst recommendations,and mispricing[R].SSRN Working Paper,2018.
[19]Dennis P J,Strickland D.Who blinks in volatile markets,individuals or institutions?[J].Journal of Finance,2002,57(5):1923-1949.
[20]Diether K B,Lee K-H,Werner I M.It’s SHO time!Short-sale price tests and market quality[J].The Journal of Finance,2009,64(1):37-73.
[21]Froot K A,Scharfstein D S,Stein J C.Herd on the street:Informational inefficiencies in a market with short-term speculation[J].Journal of Finance,1992,47(4):1461-1484.
[22]Harrison J M,Kreps D M.Speculative investor behavior in a stock market with heterogeneous expectations[J].Quarterly Journal of Economics,1978,92(2):323-336.
[23]Hong H,Stein J C.Differences of opinion,short-sales constraints,and market crashes[J].Review of Financial Studies,2003,16(2):487-525.
[24]Irvine P,Lipson M,Puckett A.Tipping[J].Review of Financial Studies,2007,20(3):741-768.
[25]Lakonishok J,Shleifer A,Vishny R W.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992,32(1):23-43.
[26]Loh R K,Stulz R M.When are analys trecommendation changes influential?[J].Review of Financial Studies,2011,24(2):593-627.
[27]Miller E M.Risk,uncertainty,and divergence of opinion[J].Journal of Finance,1977,32(4):1151-1168.
[28]Pareek A.Information networks:Implications formutual fundtrading behavior and stock returns[R].SSRN Working Paper,2012.
[29]Scheinkman J A,Xiong W.Over confidence and speculative bubbles[J].Journal of Political Economy,2003,111(6):1183-1220.
[30]Shiller R J,Pound J.Survey evidence on diffusion of interest among institutional investors[R].NBER Working Paper No.1851,1986.
[31]Wei K D,Wermers R,Yao T.Uncommon value:The characteristics and investment performance of contrarian funds[J].Management Science,2015,61(10):2394-2414.
(1)其中包括封闭式基金中的股票型基金以及开放式基金中的股票型基金和混合型基金,不含指数型基金和保本基金等。数据来自Wind中国金融数据库。
(1)我们剔除了与该基金同属一家基金公司的基金,因为它们之间可能存在人员交叠。
(1)通常在一个季度内,对于同一只股票有多次分析师评级发布。
(2)在计算社会关系网络成员和市场中所有机构投资者平均仓位时包括股票j持有量为零的投资者。
(1)基金连续持股期的95%分位数是12个季度。
(2)由于投资期限是根据基金重仓持股数据计算得到的,更准确的表述应为基金的重仓投资期限。
(1)我们对这些变量采取了逐步剔除的方式,其显著性未发生实质变化。
[2]陈新春,刘阳,罗荣华.机构投资者信息共享会引来黑天鹅吗?--基金信息网络与极端市场风险[J].金融研究,2017,(7):140-155.
[3]黄顺武,雷磊.分析师评级的机构持股效应研究[J].贵州财经大学学报,2015,(2):12-20.
[4]李科,徐龙炳,朱伟骅.卖空限制与股票错误定价--融资融券制度的证据[J].经济研究,2014,(10):165-178.
[5]刘京军,苏楚林.传染的资金:基于网络结构的基金资金流量及业绩影响研究[J].管理世界,2016,(1):54-65.
[6]刘京军,徐浩萍.机构投资者:长期投资者还是短期机会主义者?[J].金融研究,2012,(9):141-154.
[7]罗衎,王春峰,房振明.股票卖方分析师报告是信息还是噱头?基于市场微观结构理论视角[J].预测,2017,(4):56-62.
[8]史永东,李凤羽.卖空限制、意见分歧收敛与信息披露的股价效应--来自A股市场的经验证据[J].金融研究,2012,(8):111-124.
[9]史永东,王谨乐.中国机构投资者真的稳定市场了吗?[J].经济研究,2014,(12):100-112.
[10]肖峻.股市周期与基金投资者的选择[J].经济学(季刊),2013,(3):1299-1320.
[11]肖欣荣,刘健,赵海健.机构投资者行为的传染--基于投资者网络视角[J].管理世界,2012,(12):35-45.
[12]徐浩峰,朱松.机构投资者与股市泡沫的形成[J].中国管理科学,2012,(4):18-26.
[13]Asquith P,Pathak P A,Ritter J R.Short interest,institutional ownership,and stock returns[J].Journal of Financial Economics,2005,78(2):243-276.
[14]Barber B,Lehavy R,Mcnichols M,et al.Can investors profit from the prophets?Security analyst recommendations and stock returns[J].Journal of Finance,2001,56(2):531-563.
[15]Black F.Noise[J].Journal of Finance,1986,41(3):529-543.
[16]Chopra N,Lakonishok J,Ritter J R.Measuring abnormal performance:Do stocks overreact?[J].Journal of Financial Economics,1992,31(2):235-268.
[17]Cohen L,Frazzini A,Malloy C.The small world of investing:Board connections and mutual fund returns[J].Journal of Political Economy,2008,116(5):951-979.
[18]Cremers M,Pareek A,Sautner Z.Short-term instituions,analyst recommendations,and mispricing[R].SSRN Working Paper,2018.
[19]Dennis P J,Strickland D.Who blinks in volatile markets,individuals or institutions?[J].Journal of Finance,2002,57(5):1923-1949.
[20]Diether K B,Lee K-H,Werner I M.It’s SHO time!Short-sale price tests and market quality[J].The Journal of Finance,2009,64(1):37-73.
[21]Froot K A,Scharfstein D S,Stein J C.Herd on the street:Informational inefficiencies in a market with short-term speculation[J].Journal of Finance,1992,47(4):1461-1484.
[22]Harrison J M,Kreps D M.Speculative investor behavior in a stock market with heterogeneous expectations[J].Quarterly Journal of Economics,1978,92(2):323-336.
[23]Hong H,Stein J C.Differences of opinion,short-sales constraints,and market crashes[J].Review of Financial Studies,2003,16(2):487-525.
[24]Irvine P,Lipson M,Puckett A.Tipping[J].Review of Financial Studies,2007,20(3):741-768.
[25]Lakonishok J,Shleifer A,Vishny R W.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992,32(1):23-43.
[26]Loh R K,Stulz R M.When are analys trecommendation changes influential?[J].Review of Financial Studies,2011,24(2):593-627.
[27]Miller E M.Risk,uncertainty,and divergence of opinion[J].Journal of Finance,1977,32(4):1151-1168.
[28]Pareek A.Information networks:Implications formutual fundtrading behavior and stock returns[R].SSRN Working Paper,2012.
[29]Scheinkman J A,Xiong W.Over confidence and speculative bubbles[J].Journal of Political Economy,2003,111(6):1183-1220.
[30]Shiller R J,Pound J.Survey evidence on diffusion of interest among institutional investors[R].NBER Working Paper No.1851,1986.
[31]Wei K D,Wermers R,Yao T.Uncommon value:The characteristics and investment performance of contrarian funds[J].Management Science,2015,61(10):2394-2414.
(1)其中包括封闭式基金中的股票型基金以及开放式基金中的股票型基金和混合型基金,不含指数型基金和保本基金等。数据来自Wind中国金融数据库。
(1)我们剔除了与该基金同属一家基金公司的基金,因为它们之间可能存在人员交叠。
(1)通常在一个季度内,对于同一只股票有多次分析师评级发布。
(2)在计算社会关系网络成员和市场中所有机构投资者平均仓位时包括股票j持有量为零的投资者。
(1)基金连续持股期的95%分位数是12个季度。
(2)由于投资期限是根据基金重仓持股数据计算得到的,更准确的表述应为基金的重仓投资期限。
(1)我们对这些变量采取了逐步剔除的方式,其显著性未发生实质变化。