机构投资者股票投资行为分析
|
摘要
自20世纪70年代以来,随着美欧等发达国家金融管制的放松、养老体制改革以及金融投资技术的发展,投资者机构化成为国际资本市场的一个重要发展趋势,共同基金、养老基金和保险公司等机构投资者逐渐成为资本市场投资的主导力量。与成熟市场机构投资者自然发展的过程不同,我国机构投资者发展是一个政府主导的模拟市场化过程,在政策扶持和资本市场高速发展的推动下,仅仅用了10年左右的时间就完成了成熟资本市场几十年的过程。目前我国已初步成了以证券投资基金为主,其他机构投资者相结合的多元化发展格局。
不容置疑的是,机构投资者的发展壮大,会对股票市场结构和市场效率产生重要影响。一般认为,与个人投资者相比,由于机构投资者具有规模优势,能够有效降低交易成本和分散投资风险。机构投资者在信息搜集和信息处理上具有较大优势,能够较为理性地进行投资决策。另外,机构投资者的“股东积极主义”可以有效改善上市公司的治理结构。因此,机构投资者有利于提高股票市场的运行效率、定价效率和资源配置效率。具体到我国的情况,近年来我国机构投资者快速发展,已经成为股票市场的重要力量。机构投资者奉行价值投资理念,并由此影响了众多普通投资者逐步认识、理解和接受价值投资理念,改变了我国以往股票市场投机盛行的市场状况。机构投资者积极参与并支持了股票市场的许多重大改革,在改善投资者结构、促进金融创新、提高市场效率等方面发挥了重要作用。
但是大量的研究表明,由于种种内在的和外在的因素制约,机构投资者并不一定能够真正发挥人们所期望的稳定市场的作用,甚至在一定程度上还可能起到加剧市场波动的负面作用。首先,根据噪音交易理论,即使在不存在基本面风险的情况下,仅仅是噪声交易者的行为也会让从事套利交易的理性投资者面临风险,从而限制其套利行为,甚至理性投资者的投资行为也会表现出噪音交易特征。其次,机构投资者制度设计中普遍存在着委托代理关系,这一点在证券投资基金上体现得更为明显。资金所有权与管理权的分离会导致投资者和管理人之间的委托代理问题,管理人在追求自身利益最大化的过程中所表现出的道德风险可能导致机构投资者投资行为的非理性。另外,股票市场基础制度、金融监管制度以及基金投资者投资行为等外在因素也可能对机构投资者投资行为产生负面影响。
本文运用向量自回归模型、脉冲响应函数分析以及格兰杰因果检验等计量经济学方法,对2006年到2008年我国证券投资基金和基金投资者的投资行为进行了实证研究。结果表明证券投资基金和基金投资者的投资行为表现出较强的正反馈交易特征,证券投资基金的投资行为对于股票市场波动没有显著影响。对此期间我国证券投资基金、保险公司、QFII和社保基金等四类主要机构投资者投资行为的对比分析表明,QFII和社保基金的投资行为表现出较强的价值投资特征,保险公司的投资行为受其股票一级市场投资的影响较大。
我国机构投资者投资行为之所以表现出上述特征,除了一般的理论解释以外,还与我国特殊的市场发展状况有关。突出表现为在机构投资者快速发展、机构投资者占股票市场流通市值已经较高的同时,机构投资者结构尚不够多元化,证券投资基金比例过高,而养老基金和保险公司等长期机构投资者的比重过低。过于激烈的短期排名压力使得证券投资基金的投资行为严重短期化,投资者频繁的申购赎回压力更加剧了这一问题。另外,我国股票市场的制度缺陷也制约了机构投资者充分发挥其稳定市场的积极作用。由于我国上市公司分红收益过低、之前股票市场缺乏做空机制,投资者只能通过单边做多和博取市场价差才能获利,即使保险公司等长期机构投资者也很难坚持长期投资的理念,容易引起市场的暴涨暴跌。这是近几年来我国机构投资者规模迅速扩大,但股票市场的波动水平反而有所上升的重要原因之一。
要想充分发挥机构投资者的积极作用,消除其负面影响,就应该着力完善机构投资者的内外在运行机制,包括继续完善股票市场基础制度、大力发展机构投资者、优化机构投资者结构、增加长期资金供给、培养长期投资理念、引导长期投资行为等,使机构投资者追求自身利益的目标与稳定市场的目标尽量趋于一致,同时加强对于机构投资者投资行为的监管力度,规范机构投资者投资行为,推动我国证券市场持续、健康、稳定发展。
Since 1970's, with deregulation of finance industry, reform of pension system and development of investment techniques in such developed countries as US and Europe, the institutionalization of investors has become an important trend of international capital market. Mutual funds, pension funds and insurance companies have become the dominant players of the market. Compared with the natural development of institutional investors in developed countries, there has been much government involvement in the development of China's institutional investors. Thanks to government support and fast development of the capital market, China has in recent 10 years fulfilled the development of institutional investors which took developed countries several decades. At present, investment funds are the majority of China's institutional investors, with other types of institutional investors as supplements.
Undoubtedly, the development of institutional investors will have great impact on the structure and efficiency of the stock market. In general view, compared with the individual investors, institutional investors can reduce trading costs and diversify investment risk because of their advantage of scale. Also for the advantage of colleting and processing information, institutional investors can make investment decision in a relatively rational manner. Additionally, the shareholder activism of institutional investors can effectively improve the corporate governance of listed companies. In a word, institutional investors are beneficial to improving the efficiency of operating, pricing and resource allocation of the stock market. In recent years, China's institutional investors maintain a high speed of development and have become an important part of the stock market. The institutional investors pursue value investment philosophy, which promoted the average investors' knowledge, understanding and acceptance of value investment philosophy. Institutional investors took an active part in many major reforms of the capital market, and played an important role in improving investor structure, boosting financial innovation and improving market efficiency.
But, many studies show that for some internal and external factors, institutional investors do not necessarily stabilize the stock market as expected, and may have negative effects on the market to some extent. Firstly, according to "noise trader" theory, even without fundamental risk, the behavior of noise traders can create risks for the rational investors and deter their arbitrage activities. The rational investors may in some instance act like noise traders. Secondly, there are principal-agent relations in the system of institutional investors, especially in that of investment funds. The separation of ownership and management of funds leads to the principal-agent problem. The moral hazards of investment managers in the process of maximizing their own interests may induce the irrational investment behaviors of the institutional investors. Moreover, such external factors as the basic systems of stock market, financial regulation and the behavior of fund investors may also have negative effects on the behavior of institutional investors.
Using VAR model, Impulse Response Function Analysis and Granger Causality Test, the paper makes empirical studies on the investment behavior of the investment funds and the fund investors from 2006 to 2008. The results show that both the investment funds and the fund investors have positive feedback trading pattern, and the stock trading of investment funds has no significant effects on the stock market volatility. The comparative analysis of the investment behavior of investment funds, insurance companies, QFII and NSSF shows that QFII and NSSF have value investment pattern, and the investment of insurance companies is affected by their primary-market activities.
Besides the general theoretical explanations, the investment patterns of China's institutional investors can be attributed to the special circumstances of China's market. In spite of the fast development speed, China's institutional investors are not various, with investment funds overwhelming such long-term institutional investors as pension funds and insurance companies. Pressure of ruthless performance ranking forces investment funds to make investment decisions with only short-term orientation, and frequent subscription and redemption of the fund investors make things worse. Besides, the flaws of China's stock market systems limit institutional investors' stabilizing effect. Because of the low cash dividend ratio of listed companies and the lack of short-selling mechanism, investors can only make money by holding long positions and taking advantage of market fluctuation, which makes the stock market too volatile. That is why we have observed that China's stock market is becoming more volatile in recent years despite the development of institutional investors.
In order to bring the positive effects into full play and eliminate the negative effects of institutional investors, the government should exert itself to perfect the internal and external mechanism of institutional investors to make consistent the institutional investors' objective of pursing their own interests and that of stabilizing the stock market, including further perfecting the basic systems of stock market, developing institutional investors energetically, optimizing the structure of institutional investors, increasing the supply of long-term funds, fostering long-term investment philosophy. At the same time, the government should strengthen the regulation of institutional investors' investment activities to boost the sustainable, healthy and stable development of the stock market.
不容置疑的是,机构投资者的发展壮大,会对股票市场结构和市场效率产生重要影响。一般认为,与个人投资者相比,由于机构投资者具有规模优势,能够有效降低交易成本和分散投资风险。机构投资者在信息搜集和信息处理上具有较大优势,能够较为理性地进行投资决策。另外,机构投资者的“股东积极主义”可以有效改善上市公司的治理结构。因此,机构投资者有利于提高股票市场的运行效率、定价效率和资源配置效率。具体到我国的情况,近年来我国机构投资者快速发展,已经成为股票市场的重要力量。机构投资者奉行价值投资理念,并由此影响了众多普通投资者逐步认识、理解和接受价值投资理念,改变了我国以往股票市场投机盛行的市场状况。机构投资者积极参与并支持了股票市场的许多重大改革,在改善投资者结构、促进金融创新、提高市场效率等方面发挥了重要作用。
但是大量的研究表明,由于种种内在的和外在的因素制约,机构投资者并不一定能够真正发挥人们所期望的稳定市场的作用,甚至在一定程度上还可能起到加剧市场波动的负面作用。首先,根据噪音交易理论,即使在不存在基本面风险的情况下,仅仅是噪声交易者的行为也会让从事套利交易的理性投资者面临风险,从而限制其套利行为,甚至理性投资者的投资行为也会表现出噪音交易特征。其次,机构投资者制度设计中普遍存在着委托代理关系,这一点在证券投资基金上体现得更为明显。资金所有权与管理权的分离会导致投资者和管理人之间的委托代理问题,管理人在追求自身利益最大化的过程中所表现出的道德风险可能导致机构投资者投资行为的非理性。另外,股票市场基础制度、金融监管制度以及基金投资者投资行为等外在因素也可能对机构投资者投资行为产生负面影响。
本文运用向量自回归模型、脉冲响应函数分析以及格兰杰因果检验等计量经济学方法,对2006年到2008年我国证券投资基金和基金投资者的投资行为进行了实证研究。结果表明证券投资基金和基金投资者的投资行为表现出较强的正反馈交易特征,证券投资基金的投资行为对于股票市场波动没有显著影响。对此期间我国证券投资基金、保险公司、QFII和社保基金等四类主要机构投资者投资行为的对比分析表明,QFII和社保基金的投资行为表现出较强的价值投资特征,保险公司的投资行为受其股票一级市场投资的影响较大。
我国机构投资者投资行为之所以表现出上述特征,除了一般的理论解释以外,还与我国特殊的市场发展状况有关。突出表现为在机构投资者快速发展、机构投资者占股票市场流通市值已经较高的同时,机构投资者结构尚不够多元化,证券投资基金比例过高,而养老基金和保险公司等长期机构投资者的比重过低。过于激烈的短期排名压力使得证券投资基金的投资行为严重短期化,投资者频繁的申购赎回压力更加剧了这一问题。另外,我国股票市场的制度缺陷也制约了机构投资者充分发挥其稳定市场的积极作用。由于我国上市公司分红收益过低、之前股票市场缺乏做空机制,投资者只能通过单边做多和博取市场价差才能获利,即使保险公司等长期机构投资者也很难坚持长期投资的理念,容易引起市场的暴涨暴跌。这是近几年来我国机构投资者规模迅速扩大,但股票市场的波动水平反而有所上升的重要原因之一。
要想充分发挥机构投资者的积极作用,消除其负面影响,就应该着力完善机构投资者的内外在运行机制,包括继续完善股票市场基础制度、大力发展机构投资者、优化机构投资者结构、增加长期资金供给、培养长期投资理念、引导长期投资行为等,使机构投资者追求自身利益的目标与稳定市场的目标尽量趋于一致,同时加强对于机构投资者投资行为的监管力度,规范机构投资者投资行为,推动我国证券市场持续、健康、稳定发展。
Since 1970's, with deregulation of finance industry, reform of pension system and development of investment techniques in such developed countries as US and Europe, the institutionalization of investors has become an important trend of international capital market. Mutual funds, pension funds and insurance companies have become the dominant players of the market. Compared with the natural development of institutional investors in developed countries, there has been much government involvement in the development of China's institutional investors. Thanks to government support and fast development of the capital market, China has in recent 10 years fulfilled the development of institutional investors which took developed countries several decades. At present, investment funds are the majority of China's institutional investors, with other types of institutional investors as supplements.
Undoubtedly, the development of institutional investors will have great impact on the structure and efficiency of the stock market. In general view, compared with the individual investors, institutional investors can reduce trading costs and diversify investment risk because of their advantage of scale. Also for the advantage of colleting and processing information, institutional investors can make investment decision in a relatively rational manner. Additionally, the shareholder activism of institutional investors can effectively improve the corporate governance of listed companies. In a word, institutional investors are beneficial to improving the efficiency of operating, pricing and resource allocation of the stock market. In recent years, China's institutional investors maintain a high speed of development and have become an important part of the stock market. The institutional investors pursue value investment philosophy, which promoted the average investors' knowledge, understanding and acceptance of value investment philosophy. Institutional investors took an active part in many major reforms of the capital market, and played an important role in improving investor structure, boosting financial innovation and improving market efficiency.
But, many studies show that for some internal and external factors, institutional investors do not necessarily stabilize the stock market as expected, and may have negative effects on the market to some extent. Firstly, according to "noise trader" theory, even without fundamental risk, the behavior of noise traders can create risks for the rational investors and deter their arbitrage activities. The rational investors may in some instance act like noise traders. Secondly, there are principal-agent relations in the system of institutional investors, especially in that of investment funds. The separation of ownership and management of funds leads to the principal-agent problem. The moral hazards of investment managers in the process of maximizing their own interests may induce the irrational investment behaviors of the institutional investors. Moreover, such external factors as the basic systems of stock market, financial regulation and the behavior of fund investors may also have negative effects on the behavior of institutional investors.
Using VAR model, Impulse Response Function Analysis and Granger Causality Test, the paper makes empirical studies on the investment behavior of the investment funds and the fund investors from 2006 to 2008. The results show that both the investment funds and the fund investors have positive feedback trading pattern, and the stock trading of investment funds has no significant effects on the stock market volatility. The comparative analysis of the investment behavior of investment funds, insurance companies, QFII and NSSF shows that QFII and NSSF have value investment pattern, and the investment of insurance companies is affected by their primary-market activities.
Besides the general theoretical explanations, the investment patterns of China's institutional investors can be attributed to the special circumstances of China's market. In spite of the fast development speed, China's institutional investors are not various, with investment funds overwhelming such long-term institutional investors as pension funds and insurance companies. Pressure of ruthless performance ranking forces investment funds to make investment decisions with only short-term orientation, and frequent subscription and redemption of the fund investors make things worse. Besides, the flaws of China's stock market systems limit institutional investors' stabilizing effect. Because of the low cash dividend ratio of listed companies and the lack of short-selling mechanism, investors can only make money by holding long positions and taking advantage of market fluctuation, which makes the stock market too volatile. That is why we have observed that China's stock market is becoming more volatile in recent years despite the development of institutional investors.
In order to bring the positive effects into full play and eliminate the negative effects of institutional investors, the government should exert itself to perfect the internal and external mechanism of institutional investors to make consistent the institutional investors' objective of pursing their own interests and that of stabilizing the stock market, including further perfecting the basic systems of stock market, developing institutional investors energetically, optimizing the structure of institutional investors, increasing the supply of long-term funds, fostering long-term investment philosophy. At the same time, the government should strengthen the regulation of institutional investors' investment activities to boost the sustainable, healthy and stable development of the stock market.
引文
①约翰·道恩斯、乔丹·艾略特·古特曼著,于研、郑英豪译：《金融与投资辞典》第431页,上海财经大学出版社,2008年版。
②E·菲利普·戴维斯、贝恩·斯泰尔著,唐巧琪、周为群译：《机构投资者》引言第1页,中国人民大学出版社,2005年版。
③严杰等编：《证券辞典》第195页,复旦大学出版社,1993年版。
①彼得·纽曼、默里·米尔盖特、约翰·伊特韦尔编,胡坚等译：《新帕尔格雷夫货币金融大辞典》第414页,经济科学出版社,2000年版。
①人力资源和社会保障部、国家统计局((2008年度人力资源和社会保障事业统计公报》。
②Annuities,包括人寿保险公司的全部定额年金和变额年金,减去IRA、403b(b)计划、457计划和私人养老基金计划所持有的年金资产。
③The US Retirement Market 2008, ICI Research Fundamentals Vol.18, No.5。
①伊志宏、张慧莲等《养老金投资与资本市场》,中国人民大学出版社,2009年版。
①本杰明·格雷厄姆、戴维·L·多德著,崔世春译：《证券分析》第20页,上海财经大学出版社,2009年版。
[1]本杰明·格雷厄姆、戴维·L·多德著,崔世春译.证券分析[M].上海：上海财经大学出版社,2009
[2]彼得·纽曼、默里·米尔盖特、约翰·伊特韦尔编,胡坚等译.新帕尔格雷夫货币金融大辞典[M].北京：经济科学出版社,2000
[3]波涛.系统交易方法[M].北京：经济管理出版社,1998
[4]蔡庆丰.代理投资、道德风险与市场效率[D].厦门：厦门大学博士学位论文,2006
[5]陈浩.中国股票市场机构投资者羊群行为实证研究[J].南开经济研究,2004(2)：91-94
[6]大卫·史文森著,张磊等译.机构投资与基金管理的创新[M].北京：中国人民大学出版社,2002
[7]E·菲利普·戴维斯、贝恩·斯泰尔著,唐巧琪、周为群译.机构投资者[M].北京：中国人民大学出版社,2005
[8]范立强.机构投资者行为研究——对金融体系稳定性冲击的分析[D].上海：华东师范大学博士学位论文,2007
[9]高顿·L·克拉克著,洪铮译.养老金基金投资与管理[M].北京：中国金融出版社,2008
[10]何佳、何基报、王霞、翟伟丽.机构投资者一定能够稳定股市吗?——来自中国的经验证据[J].管理世界,2007(8)：35-42
[11]黄郡.机构投资者持股特征的实证分析[J].南方金融,2006(9)：42-45
[12]金德环、王俊、李鹏、李胜利.上市公司信息披露与个股异常波动相关性研究[J].财经研究,2002(7)：19-25
[13]J.约翰斯顿、J.狄纳尔多著,唐奇鸣等译.计量经济学方法[M].第四版.北京：中国经济出版社,2002
[14]李国正、杜贺亮.基金尚未起到稳定市场的作用[R].北京：民生证券研究所研究 报告,2003
[15]李腊生、余砚新、张艳莉等.我国证券市场的累积成本效应及投资主体行为研究[M].北京：中国统计出版社,2006
[16]李胜利.机构投资者行为与证券市场波动[M].上海：上海财经大学出版社,2008
[17]李欣宇.养老基金管理人谨慎投资义务研究[D].北京：中国政法大学博士学位论文,2008
[18]刘建洲、丁楹.机构投资者的发展对资本市场的影响——以美国为例的分析[J].证券市场导报,2002(5)：29-34
[19]刘湘宁.2005年3季度机构投资者偏好及风格研究[N].证券时报,2005年11月24日
[20]楼迎军.基于EGARCH模型的我国股市杠杆效应研究[J].中国软科学,2003(10)：49-51
[21]潘英丽.投资基金两重性与我国基金业规范发展[J].上海投资,2001(5)：4-8
[22]祁斌、黄明、陈卓思、杜丽虹.机构投资者发展与市场有效性及稳定性[R].上海：上海证券交易所,2005
[23]任英华等.Eviews应用实验教程[M].长沙：湖南大学出版社,2008
[24]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济,2001(10)：26-31
[25]苏艳丽、庄新田.我国证券投资基金羊群行为和正反馈行为研究[J].东北大学学报(自然科学版),2008(3)：420-423
[26]孙杰、高天红.基金资产管理立业之根本——受托人义务(fiduciary duty) [N].中国证券报,2007年5月10日
[27]谭中明、李庆尊.正反馈交易模型及机构投资者交易行为的作用[J].统计研究,2005(12)：31-35
[28]汤大杰.中国证券投资基金行为及其市场影响研究[D].广州：暨南大学博士学位论文,2007
[29]王成.市场结构变迁与投资管理的未来——国内投资管理策略的第二次变革[R].上海：国泰君安证券研究所,2007
[30]王霞.我国基金集中赎回问题研究[R].深圳：深圳证券交易所综合研究所,2008
[3l]项怀诚等.养老储备基金管理——国际经验与中国实践[M].北京：中国财政经济出版社,2005
[32]谢赤、张太原、禹湘.开放式基金经理惯性投资行为研究[J].中国管理科学,2008(1)：32-41
[33]徐高林.保险资金投资管理教程[M].北京：北京大学出版社,2008
[34]许明.异质计算、趋势预期、政府与泡沫[D].北京：财政部财政科学研究所博士学位论文,2009
[35]徐旭初.机构投资者和资本市场的效率[J].世界经济研究,2001(6)：79-82
[36]严杰等.证券辞典[M].上海：复旦大学出版社,1993
[37]杨德群、杨朝军.论机构投资者的持股特征[J].上海管理科学,2004(4)：12-14
[38]杨德群、杨朝军、蔡明超.我国证券投资基金谨慎投资行为的实证检验[J].三峡大学学报(人文社会科学版),2005(2)：71-75
[39]姚姬、刘志远.基金投资行为的市场检验——基于中国股市最大机构投资者的实证研究[R].天津：南开大学国际商学院,2005
[40]姚颐、刘志远.震荡市场、机构投资者与市场稳定[J].管理世界,2008(8)：22-32
[41]伊志宏、张慧莲等.养老金投资与资本市场——国际经验及中国的选择[M].北京：中国人民大学出版社,2009
[42]约翰·道恩斯、乔丹·艾略特·古特曼著,于研、郑英豪译.金融与投资辞典[M].第六版.上海：上海财经大学出版社,2008
[43]张文魁.我国证券市场机构投资者的现状与发展思路[J].上海金融,2002(10)：8-10
[44]张羽、李黎.证券投资基金交易行为及其对股价的影响[J].管理科学,2005(4)：77-85
[45]张宗新等.证券投资基金行为对市场质量的影响[R].上海：上海证券交易所,2008
[46]中国证券监督管理委员会.2009中国证券期货统计年鉴[Z].上海：学林出版社,2009
[47]中国证券业协会.2008中国证券投资基金业年报[Z].北京：经济科学出版社,2009
[48]中国证券业协会.基金投资者情况调查分析报告(2008)[R].北京：中国证券业协会,2009
[49]仲黎明、刘海龙、吴冲锋.机构投资者的最优变现策略[J].管理科学学报,2002(5)：18-22
[50]周泉恭.投资基金组织治理研究[M].北京：中国金融出版社,2008
[51]周伟.我国证券市场机构投资者的发展取向初探[J].现代财经——天津财经学院学报,2000(3)：27-28
[1]Abhijit V. Banerjee,1992, A simple model of herd behavior, The Quarterly Journal of Economics 107,797-817
[2]Albert S. Kyle,1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335
[3]Alexei P. Goriaev, Frederic Palomino and Andrea Prat,2001, Mutual fund tournament: risk taking incentives induced by ranking objectives, discussion papers Center for Economic Policy Research
[4]Allan W. Kleidon,1986, Variance bounds tests and stock price valuation models, Journal of Political Economy 94,953-1001
[5]Bengt Holmstrom,1979, Moral hazard and observability, Bell Journal of Economics 10, 74-91
[6]Bengt Holmstrom,1982, Moral hazard in teams, Bell Journal of Economics 13,324-340
[7]Benoit B. Mandelbrot,1966, Forecasts of future prices, unbiased markets and "martingale" models, The Journal of Business 39,242-255
[8]Bin Han and Qinghai Wang,2004, Institutional investment constraints and stock prices, working paper Dice Center for Research in Financial Economics
[9]Brad M. Barber and Terrance Odean,2001, All that glitters:the effect of attention and news on the buying behavior of individual and institutional investors, working paper Graduate School of Management, University of California, Davis
[10]Chiyachantana Chiraphol, Pankaj K. Jain, Christine Jiang, and Robert A. Wood,2004, International evidence on institutional trading behavior and determinants of price impact, Journal of Finance,59,865-894
[11]Christopher N. Avery and Peter Zemsky,1998, Multidimensional uncertainty and herd behavior in financial markets, American Economic Review 88,724-748
[12]Cuoco Domenico and Ron Kaniel,2001, Equilibrium prices in the presence of delegated portfolio management, working paper University of Pennsylvania and Duke University
[13]David S. Scharfstein and Jeremy C. Stein,1990, Herd behavior and investment, American Economic Review 80,465-479
[14]Dengpan Luo,2003, Market volatility and mutual fund cash flows, working papers Yale School of Management
[15]Diane Del Guercio,1996, The distorting effects of the prudent-man laws on institutional equity investments, Journal of Financial Economics 40,31-62
[16]Diane Del Guercio and Paula A. Tkac,2000, The determinants of the flow of funds of managed portfolios:mutual funds versus pension funds, working paper Federal Reserve Bank of Atlanta
[17]Donald B. Keim and Ananth Madhavan,1997, Transactions costs and investment style: an inter-exchange analysis of institutional equity trades, Journal of Financial Economics 46,265-292
[18]Eitan Goldman and Steve L. Slezak,2003, Delegated portfolio management and rational prolonged mispricing, Journal of Finance 58,283-311
[19]Enrique Sentana and Sushil Wadhwani,1992, Feedback traders and stock return autocorrelations:evidence from a century of daily data, Economic Journal, Royal Economic Society 102,415-425
[20]E Philip Davis,2000, Portfolio regulation of life insurance companies and pension funds, working paper OECD
[21]Erik R. Sirri and Peter Tufano,1998, Costly search and mutual fund flows, Journal of Finance 53,1589-1622
[22]Eugene F. Fama,1965, The behavior of stock-market prices, The Journal of Business 38, 34-105
[23]Eugene F. Fama,1970, Efficient capital markets:a review of theory and empirical work, Journal of Finance 25,383-417
[24]Eugene F. Fama and Kenneth R. French,1988, Permanent and temporary components of stock prices, The Journal of Political Economy 96,246-273
[25]Fang Cai, Gautam Kaul and Lu Zheng,2000, Institutional trading and stock returns, working paper University of Michigan
[26]Fischer Black,1986, Noise, Journal of Finance 41,529-543
[27]Franklin Allen,2001, Do financial institutions matter? Journal of Finance 56,1165-1175
[28]Franklin R. Edwards and Xin Zhang,1998, Mutual funds and stock and bond market stability, Journal of Financial Services Research 13,257-282
[29]Gideon Saar,2001, Price impact asymmetry of block trades:an institutional trading explanation, Review of Financial Studies 14,1153-1181
[30]Harrison Hong and Jeremy C. Stein,1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, The Journal of Finance 54,2143-2184
[31]Harry V. Roberts,1959, Stock market "patterns" and financial analysis:methodological suggestions, Journal of Finance 14,1-10
[32]Hendricks Darryll, Jayendu Patel and Richard Zechhauser,1993, Hot hands in mutual funds:the persistence of performance,1974-1988, Journal of Finance 48,93-130
[33]Hersh Shefrin and Meir Statman,1995, Making sense of beta, size, and book-to-market, Journal of Portfolio Management 21,26-34
[34]Holbrook Working,1934, A random-difference series for use in the analysis of time series, Journal of the American Statistical Association 29,11-24
[35]Hsiu-lang Chen and George G. Pennacchi,2002, Does prior performance affect a mutual fund's choice of risk? theory and further empirical evidence, working paper University of Illinois at Urbana-Champaign
[36]ICI,2009 Investment Company Fact Book
[37]Irwin Friend, Marshall Blume and Jean Crockett,1970, Mutual funds and other institutional investors; a new perspective, (McGraw-Hill & Co, New York)
[38]Jaeho Cho and Kyoosung Jo,2006, Overconfidence and information:the differences between individuals and institutions, SSRN-id891085
[39]James A. Mirrlees,1974, Notes on welfare economics, information and uncertainty, in Essays in Equilibrium Behavior under Uncertainty, eds. M. Balch, D. McFadden and S. Wu (North Holland, Amsterdam)
[40]James A. Mirrlees,1975, The theory of moral hazard and unobservable behavior, mimeo Nuffield College of Oxford University
[41]James A. Mirrlees,1976, The optimal structure of incentives and authority within an organization, Bell Journal of Economics 7,105-131
[42]James M. Poterba and Lawrence H. Summers,1988, Mean reversion in stock prices: evidence and implications, Journal of Financial Economics 22,27-59
[43]J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann, 1990, Noise trader risk in financial markets, The Journal of Political Economy 98, 703-738
[44]J. Michael Harrison and David M. Kreps,1978, Speculative investor behavior in a stock market with heterogeneous expectations, The Quarterly Journal of Economics 92, 323-336
[45]John R. Nofsinger and Richard W. Sias,1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54,2263-2295
[46]John Y. Campbell and Robert J. Shiller,1987, Cointegration and tests of present value models, Journal of Political Economy 95,1062-1088
[47]John Y. Campbell and Albert S. Kyle,1993, Smart money, noise trading and stock price behavior, Review of Economic Studies 60,1-34
[48]Jones Charles and Marc Lipson,1999, Execution costs of institutional equity orders, Journal of Financial Intermediation 8,123-140
[49]Josef Lakonishok, Andrei Shleifer and Robert Vishny,1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32,23-43
[50]Josef Lakonishok, Andrei Shleifer and Robert Vishny,1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49,1541-1578
[51]Judith Chevalier and Glenn Ellison,1997, Risk taking by mutual funds as a response to incentives, Journal of Political Economy 105,1167-1200
[52]Keith C. Brown, W. Van Harlow and Laura T. Starks,1996, Of tournaments and temptations:an analysis of managerial incentives in the mutual fund industry, Journal of Finance 51,85-110
[53]Kenneth A. Froot, David S. Scharftstein and Jeremy C. Stein,1992, Herd on the street: informational inefficiencies in a market with short-term speculation, Journal of Finance 47,1461-1484
[54]Kent Daniel, David Hirshleifer and Avanidhar Subrahmanyam,1998, Investor psychology and security market under-and Overreactions, Journal of Finance 53, 1839-1885
[55]Kraus Alan and Hans Stoll,1972, Price impacts of block trading on the New York stock exchange, Journal of Finance 27,569-588
[56]Lawrence H. Summers,1986, Does the stock market rationally reflect fundamental values? Journal of Finance 41,591-601
[57]Livio Stracca,2005, Delegated portfolio management A survey of the theoretical literature, working paper European Central Bank
[58]Louis K.C. Chan and Josef Lakonishok,1995, The behavior of stock prices around institutional trades, Journal of Finance 50,1147-1174
[59]Louis K.C. Chan and Josef Lakonishok,1997, Institutional equity trading costs:NYSE versus Nasdaq, Journal of Finance 52,713-735
[60]Mark Grinblatt, Sheridan Titman and Russ Wermers,1995, Momentum investment strategies, portfolio performance and herding:a study of mutual fund behavior, American Economic Review 85,1088-1105
[61]Martin J. Gruber,1996, Another puzzle:the growth in actively managed mutual funds, Journal of Finance 51,783-810
[62]Martin T. Bohl and Pierre Siklos,2004, Empirical evidence on feedback trading in mature and emerging stock markets, Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney
[63]Maug Emst and Narayan Naik,1996, Herding and delegated portfolio management:The impact of relative performance evaluation on asset allocation, working paper Institute of Finance and Accounting, London.
[64]Maurice G Kendall,1953, The analysis of economic time series, Journal of the Royal Statistical Society 116,11-25
[65]Meeta Kothare and P A. Laux,1995, Trading costs and the trading systems for Nasdaq stocks, Financial Analysts Journal 51,42-53
[66]M.F.M. Osborne,1962, Periodic structure in the Brownian motion of stock prices, Operation Research 10,345-379
[67]Michael C. Jensen and William H. Meckling,1976, Theory of the firm:managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3, 305-360
[68]Milton Friedman,1953, The case for flexible exchange rates, in Essays in Positive Economics by Milton Friedman,157-203, (University of Chicago Press, Chicago)
[69]Myron S. Scholes,1972, The market for securities:substitution versus price pressure and the effects of information on share prices, Journal of Business 45,179-211
[70]Narasimhan Jegadeesh and Sheridan Titman,1993, Returns to buying winners and selling losers:implications for stock market efficiency, Journal of Finance 48,65-91
[71]Nicholas Barberis, Andrei Shleifer and Robert Vishny,1998, A model of investor sentiment, Journal of Financial Economics 49,307-343
[72]Noel Capon, Gavan J. Fitzsimons, Russ Alan Prince,1996, An individual level analysis of the mutual fund investment decision, Journal of Financial Services Research 10, 59-82
[73]Paul A. Samuelson,1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review 6,41-49
[74]Randolph B. Cohen, Paul A. Gompers and Tuomo Vuolteenaho,2002, Who underreacts to cash-flow news? evidence from trading between individuals and institutions, Journal of Financial Economics 66,409-462
[75]Richard A. Ippolito,1992, Consumer reaction to measure poor quality:evidence from mutual fund industry, Journal of Law and Economics 35,45-70
[76]Richard Roll,1984, Orange juice and weather, American Economic Review 74,861-880
[77]Richard Roll,1992, A mean/variance analysis of tracking error, Journal of Portfolio Management 18,13-22
[78]Richard W. Sias,1996, Volatility and the institutional investor, Financial Analyst Journal 52,13-19
[79]Richard W. Sias, Laura T. Starks and Sheridan Titman,2001, The price impact of institutional trading, working paper Washington State University and University of Texas at Austin
[80]Robert A. G Monks and Nell Minow, Corporate governace, Blackwell Publishers Inc., 1995
[81]Robert J. Shiller,1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71,421-436
[82]Robert J. Shiller,1984, Stock prices and social dynamics, Brookings Papers on Economic Activity 2,457-510
[83]Robert J. Shiller,1998, Human behavior and the efficiency of the financial system, working paper National Bureau of Economic Research
[84]Robert Wilson,1969, The structure of incentives for decentralization under uncertainty, La Decision, No.171
[85]Russ Wermers,1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54,581-622
[86]Stephen Figlewski,1979, Subjective information and market efficiency in betting market, Journal of Political Economy 87,75-88
[87]Stephen Ross,1973, The economic theory of agency:the principal's problem, American Economic Review 63,134-139
[88]Steven L. Jones, Darrell Lee and Edward Weis,1999, Herding and feedback trading by different types of institutions and the effects on stock prices, working paper Indiana University-Indianapolis Campus
[89]Subramaniam Badrinath, Gerald Gay and Jayant Kale,1989, Patterns of institutional investment prudence and the managerial 'safety-net' hypothesis, Journal of Risk and Insurance 56,605-629
[90]Suleyman Basak, Anna Pavlova and Alex Shapiro,2003, Offsetting the incentives:risk shifting and benefits of benchmarking in money management, working paper MIT Laboratory for Financial Engineering
[91]Sushil Bikhchandani, David Hirshleifer and Ivo Welch, A theory of fads, fashion, custom, and cultural change as informational cascades, Journal of Political Economy 100, 992-1026
[92]Trueman Brett,1994, Analyst forecasts and herding behavior, Review of Financial Studies 7,97-124
[93]Vincent A. Warther 1995, Aggregate mutual fund flows and security returns, Journal of Financial Economics 39,209-235
[94]Werner F. M. De Bondt and Richard H. Thaler,1985, Does the stock market overreact? Journal of Finance 40,793-808
[95]William N. Goetzmann and Massimo Massa,1999, Index funds and stock market growth, working papers National Bureau of Economic Research
②E·菲利普·戴维斯、贝恩·斯泰尔著,唐巧琪、周为群译：《机构投资者》引言第1页,中国人民大学出版社,2005年版。
③严杰等编：《证券辞典》第195页,复旦大学出版社,1993年版。
①彼得·纽曼、默里·米尔盖特、约翰·伊特韦尔编,胡坚等译：《新帕尔格雷夫货币金融大辞典》第414页,经济科学出版社,2000年版。
①人力资源和社会保障部、国家统计局((2008年度人力资源和社会保障事业统计公报》。
②Annuities,包括人寿保险公司的全部定额年金和变额年金,减去IRA、403b(b)计划、457计划和私人养老基金计划所持有的年金资产。
③The US Retirement Market 2008, ICI Research Fundamentals Vol.18, No.5。
①伊志宏、张慧莲等《养老金投资与资本市场》,中国人民大学出版社,2009年版。
①本杰明·格雷厄姆、戴维·L·多德著,崔世春译：《证券分析》第20页,上海财经大学出版社,2009年版。
[1]本杰明·格雷厄姆、戴维·L·多德著,崔世春译.证券分析[M].上海：上海财经大学出版社,2009
[2]彼得·纽曼、默里·米尔盖特、约翰·伊特韦尔编,胡坚等译.新帕尔格雷夫货币金融大辞典[M].北京：经济科学出版社,2000
[3]波涛.系统交易方法[M].北京：经济管理出版社,1998
[4]蔡庆丰.代理投资、道德风险与市场效率[D].厦门：厦门大学博士学位论文,2006
[5]陈浩.中国股票市场机构投资者羊群行为实证研究[J].南开经济研究,2004(2)：91-94
[6]大卫·史文森著,张磊等译.机构投资与基金管理的创新[M].北京：中国人民大学出版社,2002
[7]E·菲利普·戴维斯、贝恩·斯泰尔著,唐巧琪、周为群译.机构投资者[M].北京：中国人民大学出版社,2005
[8]范立强.机构投资者行为研究——对金融体系稳定性冲击的分析[D].上海：华东师范大学博士学位论文,2007
[9]高顿·L·克拉克著,洪铮译.养老金基金投资与管理[M].北京：中国金融出版社,2008
[10]何佳、何基报、王霞、翟伟丽.机构投资者一定能够稳定股市吗?——来自中国的经验证据[J].管理世界,2007(8)：35-42
[11]黄郡.机构投资者持股特征的实证分析[J].南方金融,2006(9)：42-45
[12]金德环、王俊、李鹏、李胜利.上市公司信息披露与个股异常波动相关性研究[J].财经研究,2002(7)：19-25
[13]J.约翰斯顿、J.狄纳尔多著,唐奇鸣等译.计量经济学方法[M].第四版.北京：中国经济出版社,2002
[14]李国正、杜贺亮.基金尚未起到稳定市场的作用[R].北京：民生证券研究所研究 报告,2003
[15]李腊生、余砚新、张艳莉等.我国证券市场的累积成本效应及投资主体行为研究[M].北京：中国统计出版社,2006
[16]李胜利.机构投资者行为与证券市场波动[M].上海：上海财经大学出版社,2008
[17]李欣宇.养老基金管理人谨慎投资义务研究[D].北京：中国政法大学博士学位论文,2008
[18]刘建洲、丁楹.机构投资者的发展对资本市场的影响——以美国为例的分析[J].证券市场导报,2002(5)：29-34
[19]刘湘宁.2005年3季度机构投资者偏好及风格研究[N].证券时报,2005年11月24日
[20]楼迎军.基于EGARCH模型的我国股市杠杆效应研究[J].中国软科学,2003(10)：49-51
[21]潘英丽.投资基金两重性与我国基金业规范发展[J].上海投资,2001(5)：4-8
[22]祁斌、黄明、陈卓思、杜丽虹.机构投资者发展与市场有效性及稳定性[R].上海：上海证券交易所,2005
[23]任英华等.Eviews应用实验教程[M].长沙：湖南大学出版社,2008
[24]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济,2001(10)：26-31
[25]苏艳丽、庄新田.我国证券投资基金羊群行为和正反馈行为研究[J].东北大学学报(自然科学版),2008(3)：420-423
[26]孙杰、高天红.基金资产管理立业之根本——受托人义务(fiduciary duty) [N].中国证券报,2007年5月10日
[27]谭中明、李庆尊.正反馈交易模型及机构投资者交易行为的作用[J].统计研究,2005(12)：31-35
[28]汤大杰.中国证券投资基金行为及其市场影响研究[D].广州：暨南大学博士学位论文,2007
[29]王成.市场结构变迁与投资管理的未来——国内投资管理策略的第二次变革[R].上海：国泰君安证券研究所,2007
[30]王霞.我国基金集中赎回问题研究[R].深圳：深圳证券交易所综合研究所,2008
[3l]项怀诚等.养老储备基金管理——国际经验与中国实践[M].北京：中国财政经济出版社,2005
[32]谢赤、张太原、禹湘.开放式基金经理惯性投资行为研究[J].中国管理科学,2008(1)：32-41
[33]徐高林.保险资金投资管理教程[M].北京：北京大学出版社,2008
[34]许明.异质计算、趋势预期、政府与泡沫[D].北京：财政部财政科学研究所博士学位论文,2009
[35]徐旭初.机构投资者和资本市场的效率[J].世界经济研究,2001(6)：79-82
[36]严杰等.证券辞典[M].上海：复旦大学出版社,1993
[37]杨德群、杨朝军.论机构投资者的持股特征[J].上海管理科学,2004(4)：12-14
[38]杨德群、杨朝军、蔡明超.我国证券投资基金谨慎投资行为的实证检验[J].三峡大学学报(人文社会科学版),2005(2)：71-75
[39]姚姬、刘志远.基金投资行为的市场检验——基于中国股市最大机构投资者的实证研究[R].天津：南开大学国际商学院,2005
[40]姚颐、刘志远.震荡市场、机构投资者与市场稳定[J].管理世界,2008(8)：22-32
[41]伊志宏、张慧莲等.养老金投资与资本市场——国际经验及中国的选择[M].北京：中国人民大学出版社,2009
[42]约翰·道恩斯、乔丹·艾略特·古特曼著,于研、郑英豪译.金融与投资辞典[M].第六版.上海：上海财经大学出版社,2008
[43]张文魁.我国证券市场机构投资者的现状与发展思路[J].上海金融,2002(10)：8-10
[44]张羽、李黎.证券投资基金交易行为及其对股价的影响[J].管理科学,2005(4)：77-85
[45]张宗新等.证券投资基金行为对市场质量的影响[R].上海：上海证券交易所,2008
[46]中国证券监督管理委员会.2009中国证券期货统计年鉴[Z].上海：学林出版社,2009
[47]中国证券业协会.2008中国证券投资基金业年报[Z].北京：经济科学出版社,2009
[48]中国证券业协会.基金投资者情况调查分析报告(2008)[R].北京：中国证券业协会,2009
[49]仲黎明、刘海龙、吴冲锋.机构投资者的最优变现策略[J].管理科学学报,2002(5)：18-22
[50]周泉恭.投资基金组织治理研究[M].北京：中国金融出版社,2008
[51]周伟.我国证券市场机构投资者的发展取向初探[J].现代财经——天津财经学院学报,2000(3)：27-28
[1]Abhijit V. Banerjee,1992, A simple model of herd behavior, The Quarterly Journal of Economics 107,797-817
[2]Albert S. Kyle,1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335
[3]Alexei P. Goriaev, Frederic Palomino and Andrea Prat,2001, Mutual fund tournament: risk taking incentives induced by ranking objectives, discussion papers Center for Economic Policy Research
[4]Allan W. Kleidon,1986, Variance bounds tests and stock price valuation models, Journal of Political Economy 94,953-1001
[5]Bengt Holmstrom,1979, Moral hazard and observability, Bell Journal of Economics 10, 74-91
[6]Bengt Holmstrom,1982, Moral hazard in teams, Bell Journal of Economics 13,324-340
[7]Benoit B. Mandelbrot,1966, Forecasts of future prices, unbiased markets and "martingale" models, The Journal of Business 39,242-255
[8]Bin Han and Qinghai Wang,2004, Institutional investment constraints and stock prices, working paper Dice Center for Research in Financial Economics
[9]Brad M. Barber and Terrance Odean,2001, All that glitters:the effect of attention and news on the buying behavior of individual and institutional investors, working paper Graduate School of Management, University of California, Davis
[10]Chiyachantana Chiraphol, Pankaj K. Jain, Christine Jiang, and Robert A. Wood,2004, International evidence on institutional trading behavior and determinants of price impact, Journal of Finance,59,865-894
[11]Christopher N. Avery and Peter Zemsky,1998, Multidimensional uncertainty and herd behavior in financial markets, American Economic Review 88,724-748
[12]Cuoco Domenico and Ron Kaniel,2001, Equilibrium prices in the presence of delegated portfolio management, working paper University of Pennsylvania and Duke University
[13]David S. Scharfstein and Jeremy C. Stein,1990, Herd behavior and investment, American Economic Review 80,465-479
[14]Dengpan Luo,2003, Market volatility and mutual fund cash flows, working papers Yale School of Management
[15]Diane Del Guercio,1996, The distorting effects of the prudent-man laws on institutional equity investments, Journal of Financial Economics 40,31-62
[16]Diane Del Guercio and Paula A. Tkac,2000, The determinants of the flow of funds of managed portfolios:mutual funds versus pension funds, working paper Federal Reserve Bank of Atlanta
[17]Donald B. Keim and Ananth Madhavan,1997, Transactions costs and investment style: an inter-exchange analysis of institutional equity trades, Journal of Financial Economics 46,265-292
[18]Eitan Goldman and Steve L. Slezak,2003, Delegated portfolio management and rational prolonged mispricing, Journal of Finance 58,283-311
[19]Enrique Sentana and Sushil Wadhwani,1992, Feedback traders and stock return autocorrelations:evidence from a century of daily data, Economic Journal, Royal Economic Society 102,415-425
[20]E Philip Davis,2000, Portfolio regulation of life insurance companies and pension funds, working paper OECD
[21]Erik R. Sirri and Peter Tufano,1998, Costly search and mutual fund flows, Journal of Finance 53,1589-1622
[22]Eugene F. Fama,1965, The behavior of stock-market prices, The Journal of Business 38, 34-105
[23]Eugene F. Fama,1970, Efficient capital markets:a review of theory and empirical work, Journal of Finance 25,383-417
[24]Eugene F. Fama and Kenneth R. French,1988, Permanent and temporary components of stock prices, The Journal of Political Economy 96,246-273
[25]Fang Cai, Gautam Kaul and Lu Zheng,2000, Institutional trading and stock returns, working paper University of Michigan
[26]Fischer Black,1986, Noise, Journal of Finance 41,529-543
[27]Franklin Allen,2001, Do financial institutions matter? Journal of Finance 56,1165-1175
[28]Franklin R. Edwards and Xin Zhang,1998, Mutual funds and stock and bond market stability, Journal of Financial Services Research 13,257-282
[29]Gideon Saar,2001, Price impact asymmetry of block trades:an institutional trading explanation, Review of Financial Studies 14,1153-1181
[30]Harrison Hong and Jeremy C. Stein,1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, The Journal of Finance 54,2143-2184
[31]Harry V. Roberts,1959, Stock market "patterns" and financial analysis:methodological suggestions, Journal of Finance 14,1-10
[32]Hendricks Darryll, Jayendu Patel and Richard Zechhauser,1993, Hot hands in mutual funds:the persistence of performance,1974-1988, Journal of Finance 48,93-130
[33]Hersh Shefrin and Meir Statman,1995, Making sense of beta, size, and book-to-market, Journal of Portfolio Management 21,26-34
[34]Holbrook Working,1934, A random-difference series for use in the analysis of time series, Journal of the American Statistical Association 29,11-24
[35]Hsiu-lang Chen and George G. Pennacchi,2002, Does prior performance affect a mutual fund's choice of risk? theory and further empirical evidence, working paper University of Illinois at Urbana-Champaign
[36]ICI,2009 Investment Company Fact Book
[37]Irwin Friend, Marshall Blume and Jean Crockett,1970, Mutual funds and other institutional investors; a new perspective, (McGraw-Hill & Co, New York)
[38]Jaeho Cho and Kyoosung Jo,2006, Overconfidence and information:the differences between individuals and institutions, SSRN-id891085
[39]James A. Mirrlees,1974, Notes on welfare economics, information and uncertainty, in Essays in Equilibrium Behavior under Uncertainty, eds. M. Balch, D. McFadden and S. Wu (North Holland, Amsterdam)
[40]James A. Mirrlees,1975, The theory of moral hazard and unobservable behavior, mimeo Nuffield College of Oxford University
[41]James A. Mirrlees,1976, The optimal structure of incentives and authority within an organization, Bell Journal of Economics 7,105-131
[42]James M. Poterba and Lawrence H. Summers,1988, Mean reversion in stock prices: evidence and implications, Journal of Financial Economics 22,27-59
[43]J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann, 1990, Noise trader risk in financial markets, The Journal of Political Economy 98, 703-738
[44]J. Michael Harrison and David M. Kreps,1978, Speculative investor behavior in a stock market with heterogeneous expectations, The Quarterly Journal of Economics 92, 323-336
[45]John R. Nofsinger and Richard W. Sias,1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54,2263-2295
[46]John Y. Campbell and Robert J. Shiller,1987, Cointegration and tests of present value models, Journal of Political Economy 95,1062-1088
[47]John Y. Campbell and Albert S. Kyle,1993, Smart money, noise trading and stock price behavior, Review of Economic Studies 60,1-34
[48]Jones Charles and Marc Lipson,1999, Execution costs of institutional equity orders, Journal of Financial Intermediation 8,123-140
[49]Josef Lakonishok, Andrei Shleifer and Robert Vishny,1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32,23-43
[50]Josef Lakonishok, Andrei Shleifer and Robert Vishny,1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49,1541-1578
[51]Judith Chevalier and Glenn Ellison,1997, Risk taking by mutual funds as a response to incentives, Journal of Political Economy 105,1167-1200
[52]Keith C. Brown, W. Van Harlow and Laura T. Starks,1996, Of tournaments and temptations:an analysis of managerial incentives in the mutual fund industry, Journal of Finance 51,85-110
[53]Kenneth A. Froot, David S. Scharftstein and Jeremy C. Stein,1992, Herd on the street: informational inefficiencies in a market with short-term speculation, Journal of Finance 47,1461-1484
[54]Kent Daniel, David Hirshleifer and Avanidhar Subrahmanyam,1998, Investor psychology and security market under-and Overreactions, Journal of Finance 53, 1839-1885
[55]Kraus Alan and Hans Stoll,1972, Price impacts of block trading on the New York stock exchange, Journal of Finance 27,569-588
[56]Lawrence H. Summers,1986, Does the stock market rationally reflect fundamental values? Journal of Finance 41,591-601
[57]Livio Stracca,2005, Delegated portfolio management A survey of the theoretical literature, working paper European Central Bank
[58]Louis K.C. Chan and Josef Lakonishok,1995, The behavior of stock prices around institutional trades, Journal of Finance 50,1147-1174
[59]Louis K.C. Chan and Josef Lakonishok,1997, Institutional equity trading costs:NYSE versus Nasdaq, Journal of Finance 52,713-735
[60]Mark Grinblatt, Sheridan Titman and Russ Wermers,1995, Momentum investment strategies, portfolio performance and herding:a study of mutual fund behavior, American Economic Review 85,1088-1105
[61]Martin J. Gruber,1996, Another puzzle:the growth in actively managed mutual funds, Journal of Finance 51,783-810
[62]Martin T. Bohl and Pierre Siklos,2004, Empirical evidence on feedback trading in mature and emerging stock markets, Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney
[63]Maug Emst and Narayan Naik,1996, Herding and delegated portfolio management:The impact of relative performance evaluation on asset allocation, working paper Institute of Finance and Accounting, London.
[64]Maurice G Kendall,1953, The analysis of economic time series, Journal of the Royal Statistical Society 116,11-25
[65]Meeta Kothare and P A. Laux,1995, Trading costs and the trading systems for Nasdaq stocks, Financial Analysts Journal 51,42-53
[66]M.F.M. Osborne,1962, Periodic structure in the Brownian motion of stock prices, Operation Research 10,345-379
[67]Michael C. Jensen and William H. Meckling,1976, Theory of the firm:managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3, 305-360
[68]Milton Friedman,1953, The case for flexible exchange rates, in Essays in Positive Economics by Milton Friedman,157-203, (University of Chicago Press, Chicago)
[69]Myron S. Scholes,1972, The market for securities:substitution versus price pressure and the effects of information on share prices, Journal of Business 45,179-211
[70]Narasimhan Jegadeesh and Sheridan Titman,1993, Returns to buying winners and selling losers:implications for stock market efficiency, Journal of Finance 48,65-91
[71]Nicholas Barberis, Andrei Shleifer and Robert Vishny,1998, A model of investor sentiment, Journal of Financial Economics 49,307-343
[72]Noel Capon, Gavan J. Fitzsimons, Russ Alan Prince,1996, An individual level analysis of the mutual fund investment decision, Journal of Financial Services Research 10, 59-82
[73]Paul A. Samuelson,1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review 6,41-49
[74]Randolph B. Cohen, Paul A. Gompers and Tuomo Vuolteenaho,2002, Who underreacts to cash-flow news? evidence from trading between individuals and institutions, Journal of Financial Economics 66,409-462
[75]Richard A. Ippolito,1992, Consumer reaction to measure poor quality:evidence from mutual fund industry, Journal of Law and Economics 35,45-70
[76]Richard Roll,1984, Orange juice and weather, American Economic Review 74,861-880
[77]Richard Roll,1992, A mean/variance analysis of tracking error, Journal of Portfolio Management 18,13-22
[78]Richard W. Sias,1996, Volatility and the institutional investor, Financial Analyst Journal 52,13-19
[79]Richard W. Sias, Laura T. Starks and Sheridan Titman,2001, The price impact of institutional trading, working paper Washington State University and University of Texas at Austin
[80]Robert A. G Monks and Nell Minow, Corporate governace, Blackwell Publishers Inc., 1995
[81]Robert J. Shiller,1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71,421-436
[82]Robert J. Shiller,1984, Stock prices and social dynamics, Brookings Papers on Economic Activity 2,457-510
[83]Robert J. Shiller,1998, Human behavior and the efficiency of the financial system, working paper National Bureau of Economic Research
[84]Robert Wilson,1969, The structure of incentives for decentralization under uncertainty, La Decision, No.171
[85]Russ Wermers,1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54,581-622
[86]Stephen Figlewski,1979, Subjective information and market efficiency in betting market, Journal of Political Economy 87,75-88
[87]Stephen Ross,1973, The economic theory of agency:the principal's problem, American Economic Review 63,134-139
[88]Steven L. Jones, Darrell Lee and Edward Weis,1999, Herding and feedback trading by different types of institutions and the effects on stock prices, working paper Indiana University-Indianapolis Campus
[89]Subramaniam Badrinath, Gerald Gay and Jayant Kale,1989, Patterns of institutional investment prudence and the managerial 'safety-net' hypothesis, Journal of Risk and Insurance 56,605-629
[90]Suleyman Basak, Anna Pavlova and Alex Shapiro,2003, Offsetting the incentives:risk shifting and benefits of benchmarking in money management, working paper MIT Laboratory for Financial Engineering
[91]Sushil Bikhchandani, David Hirshleifer and Ivo Welch, A theory of fads, fashion, custom, and cultural change as informational cascades, Journal of Political Economy 100, 992-1026
[92]Trueman Brett,1994, Analyst forecasts and herding behavior, Review of Financial Studies 7,97-124
[93]Vincent A. Warther 1995, Aggregate mutual fund flows and security returns, Journal of Financial Economics 39,209-235
[94]Werner F. M. De Bondt and Richard H. Thaler,1985, Does the stock market overreact? Journal of Finance 40,793-808
[95]William N. Goetzmann and Massimo Massa,1999, Index funds and stock market growth, working papers National Bureau of Economic Research