我国证券市场机构投资者持股偏好研究
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摘要
1997年11月国务院颁布《证券投资基金管理暂行办法》,拉开了中国股票市场培育和发展机构投资者的序幕,1998年3月封闭式基金成立并开始运作,1999年三类企业(国有企业、国有资产控股公司及上市公司)资金和保险公司资金入市,2001年9月开放式基金成立,2002年11月8日中国人民银行和证监会联合发布《合格境外机构投资者(QFII)境内证券投资管理暂行办法》,并于同年12月1日正式实施。虽然管理层从1997年以来非常重视发展机构投资者,2001年提出“超常规”发展,但由于我国持续五年的股市低迷以及股票市场所特有的“股权分置”现象,机构投资者对股市的影响被局限在1/3的流通股中,其地位和作用并没有真正彰显。但2005年下半年开始的股权分置改革和2006年下半年中国股市告别低迷进入“牛市”,尤其是2007年下半年之后股改“大小非”解禁高潮的到来,无论从股票市场制度的供给还是需求来看,机构投资者都迎来了前所未有的发展机遇。一方面,伴随着国家经济持续高速增长和金融市场改革不断深化,各种类型的机构投资者自身规模的扩大和成长主观上需要有更多热衷股票市场的“基民”投资者和具有优质资产成长良好的上市公司;另一方面,“大小非”解禁会使相当规模的原非流通股上市流通,增大了股票市场总的供给盘子,客观上需要机构投资者消化吸收这些“大小非”股票,避免股价暴跌,促使股票市场健康、稳定发展。
由于具有信息、资金、技术、人才优势的机构投资者,在股票市场上的持股规模、持股偏好等投资行为,不仅可以通过“用脚投票”对股票市场的波动产生直接影响,而且还可能通过“用手投票”对上市公司治理和业绩产生重要影响。因此,在股权分置改革基本完成之后的“全流通”条件下,对机构投资者的持股偏好进行系统研究就显得非常具有理论意义和现实意义。
目前,我国机构投资者主要包括证券投资基金、保险公司、三类公司(国有企业、国有控股公司和上市公司)、QFII、社保基金、证券公司等,其中占主导地位的是证券投资基金。因此,本文以我国证券投资基金作为主要研究对象,采取多元回归方法对证券投资基金的持股偏好及其影响因素进行实证研究。以基金的持股比例作为因变量,公司每股收益率、每股净资产、流动比率、换手率、市净率、公司规模、知名度、财务报告是否由“五大会计事务所”审计、审计意见、市场风险豕数、流通股比例、上市时间长度、是否在股改期间、是否在股改后14个变量作为自变量。样本选择期间为2004年至2007年,共13个季度。
结果显示,每股收益率、每股净资产、流动比率、市净率、公司规模、知名度、财务报告是否由“五大会计事务所”审计、是否在股改期间等变量与基金的持股比例呈正相关关系,其中每股收益率、每股净资产、流动比率、公司规模、财务报告是否由“五大会计事务所”审计与被解释变量呈显著正相关关系;而换手率、审计意见、市场风险系数、上市时间长度、是否在股改后等变量与基金持股比例呈负相关关系,其中换手率、市场风险系数、上市时间长度等变量与基金持股呈显著负相关关系。说明以证券投资基金为代表的机构投资者更倾向于持有公司盈利、规模较大、市场风险较小、上市时间较短的公司股票,且受审慎原则影响较大。
最后,针对实证分析的结果,对我国机构投资者持股偏好进行结论性总结,并提出政策建议。
In November 1997,state council promulgates《Provisional management act for the securities investment funds》. So the stock market of China is cultivated and institutional investors are developed. In March 1998, closed-end investment trusts are set up and worked. Three types of enterprises (State-owned enterprises, state-owned assets of holding companies and listed companies) funds and insurance funds begin to Enter the stock market in 1999.and then mutual funds establish in September 2001.In November 8, 2002, the people's Bank of China and the SFC jointly distribute《Provisional management act for Qualified Foreign Institutional Investors (QFII) investing in domestic securities》.And in the same year on December 1 the act is implemented. Although since 1997, the government administration section begins to develop institutional investors vigorously. And in 2001 the government advances "super-conventional" developing. However, before 2005 the securities market sustains to slump and has the unique "Non-tradable-share" phenomenon. The influence bringing in institutional investor is limited to the stock market in 1/3 circulation stock. Its status and function are not true shown. But institutional investors have welcomed the unprecedented development opportunity because the non-tradable-share reform is implemented in the second half of 2005 and the Chinese Stock market enters "the bull market" in the second half of the yea 2006,Regardless of be looked from the Stock market system's supplies or the demand. one the one hand, the development of each type of institutional investors needs to be crutched by personal investor and the companies having the high quality properties. On the other hand, some former non-circulating stocks begin to circulate in the securities market. And so it needs that institutional investors digest and absorb these stocks. And so it can be avoided that the stock price falls suddenly and the market develops stably.
Institutional investor has the following features such as low information cost, reasonable disperse of risks, high scale benefit, and powerful supervision and so on. Their investment strategies and investment behaviors have a gradual increasing influence to the stock market. They have not only the immediate influence through voting by foot but also the important influence to company's management and outstanding achievement through voting by hand voting. So, under the condition of entire-circulation, The Study on Stock-holding Preference of Institutional Investors of China Securities have very important significance and the practical significance.
At present, Institution investors include fund companies, three types of enterprises (State-owned enterprises, state-owned assets of holding companies and listed companies), insurance companies, stock companies, QFII, enterprise annuities and retire pensions in China. And the main is fund companies. So, this paper studies the stock-holding characteristics by fund in our country, using the statistical method of multi-linear regression with the stock-holding proportion as the dependent variable and the systematic risk of the individual stock, earning per share, book value per share, market-to-book value, age, stock market value and turnover, and so on, as independent variables. The sample period is from the beginning of 2004 to the beginning of 2007, with total 13 quarters.
The earnings per share and book value per share is significant, and the coefficient is positive, which implies that as the rational investors, Institutional investor should prefer high earning per share, because it reflects the fundamental value of the company worthy of investing. It conforms to the traditional recognition. The systematic risk is insignificant. In our country, the institutional investors prefer low systematic risk stock. It means that fund as an institutional investor is greatly influenced by the prudent principle. The total market value of the stock is significant, and coefficient is positive. The age is significant and coefficient is negative, which shows that funds tend to hold short age stock in the public market that contrast to the traditional analysis. It may be attributed to the information disclosure system in our market.
Finally, on the basis of above-mentioned research, there is simple conclusion about how to select the stock and policy advice for how to develop institutional investors of our country.
由于具有信息、资金、技术、人才优势的机构投资者,在股票市场上的持股规模、持股偏好等投资行为,不仅可以通过“用脚投票”对股票市场的波动产生直接影响,而且还可能通过“用手投票”对上市公司治理和业绩产生重要影响。因此,在股权分置改革基本完成之后的“全流通”条件下,对机构投资者的持股偏好进行系统研究就显得非常具有理论意义和现实意义。
目前,我国机构投资者主要包括证券投资基金、保险公司、三类公司(国有企业、国有控股公司和上市公司)、QFII、社保基金、证券公司等,其中占主导地位的是证券投资基金。因此,本文以我国证券投资基金作为主要研究对象,采取多元回归方法对证券投资基金的持股偏好及其影响因素进行实证研究。以基金的持股比例作为因变量,公司每股收益率、每股净资产、流动比率、换手率、市净率、公司规模、知名度、财务报告是否由“五大会计事务所”审计、审计意见、市场风险豕数、流通股比例、上市时间长度、是否在股改期间、是否在股改后14个变量作为自变量。样本选择期间为2004年至2007年,共13个季度。
结果显示,每股收益率、每股净资产、流动比率、市净率、公司规模、知名度、财务报告是否由“五大会计事务所”审计、是否在股改期间等变量与基金的持股比例呈正相关关系,其中每股收益率、每股净资产、流动比率、公司规模、财务报告是否由“五大会计事务所”审计与被解释变量呈显著正相关关系;而换手率、审计意见、市场风险系数、上市时间长度、是否在股改后等变量与基金持股比例呈负相关关系,其中换手率、市场风险系数、上市时间长度等变量与基金持股呈显著负相关关系。说明以证券投资基金为代表的机构投资者更倾向于持有公司盈利、规模较大、市场风险较小、上市时间较短的公司股票,且受审慎原则影响较大。
最后,针对实证分析的结果,对我国机构投资者持股偏好进行结论性总结,并提出政策建议。
In November 1997,state council promulgates《Provisional management act for the securities investment funds》. So the stock market of China is cultivated and institutional investors are developed. In March 1998, closed-end investment trusts are set up and worked. Three types of enterprises (State-owned enterprises, state-owned assets of holding companies and listed companies) funds and insurance funds begin to Enter the stock market in 1999.and then mutual funds establish in September 2001.In November 8, 2002, the people's Bank of China and the SFC jointly distribute《Provisional management act for Qualified Foreign Institutional Investors (QFII) investing in domestic securities》.And in the same year on December 1 the act is implemented. Although since 1997, the government administration section begins to develop institutional investors vigorously. And in 2001 the government advances "super-conventional" developing. However, before 2005 the securities market sustains to slump and has the unique "Non-tradable-share" phenomenon. The influence bringing in institutional investor is limited to the stock market in 1/3 circulation stock. Its status and function are not true shown. But institutional investors have welcomed the unprecedented development opportunity because the non-tradable-share reform is implemented in the second half of 2005 and the Chinese Stock market enters "the bull market" in the second half of the yea 2006,Regardless of be looked from the Stock market system's supplies or the demand. one the one hand, the development of each type of institutional investors needs to be crutched by personal investor and the companies having the high quality properties. On the other hand, some former non-circulating stocks begin to circulate in the securities market. And so it needs that institutional investors digest and absorb these stocks. And so it can be avoided that the stock price falls suddenly and the market develops stably.
Institutional investor has the following features such as low information cost, reasonable disperse of risks, high scale benefit, and powerful supervision and so on. Their investment strategies and investment behaviors have a gradual increasing influence to the stock market. They have not only the immediate influence through voting by foot but also the important influence to company's management and outstanding achievement through voting by hand voting. So, under the condition of entire-circulation, The Study on Stock-holding Preference of Institutional Investors of China Securities have very important significance and the practical significance.
At present, Institution investors include fund companies, three types of enterprises (State-owned enterprises, state-owned assets of holding companies and listed companies), insurance companies, stock companies, QFII, enterprise annuities and retire pensions in China. And the main is fund companies. So, this paper studies the stock-holding characteristics by fund in our country, using the statistical method of multi-linear regression with the stock-holding proportion as the dependent variable and the systematic risk of the individual stock, earning per share, book value per share, market-to-book value, age, stock market value and turnover, and so on, as independent variables. The sample period is from the beginning of 2004 to the beginning of 2007, with total 13 quarters.
The earnings per share and book value per share is significant, and the coefficient is positive, which implies that as the rational investors, Institutional investor should prefer high earning per share, because it reflects the fundamental value of the company worthy of investing. It conforms to the traditional recognition. The systematic risk is insignificant. In our country, the institutional investors prefer low systematic risk stock. It means that fund as an institutional investor is greatly influenced by the prudent principle. The total market value of the stock is significant, and coefficient is positive. The age is significant and coefficient is negative, which shows that funds tend to hold short age stock in the public market that contrast to the traditional analysis. It may be attributed to the information disclosure system in our market.
Finally, on the basis of above-mentioned research, there is simple conclusion about how to select the stock and policy advice for how to develop institutional investors of our country.
引文
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2.Benartzi S,Thaler R.Native diversification strategies in retirement saving Plans..The American Economic Review.2001,91(1):79-98
3.Eric G Falkenstein.Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings[J].Journal of Finance.1996
4.Geoffrey A.Hint.Fundamentals of Investment Management.third edition.Stanley B.Block,Irwin,Inc.1990
5.Gilles Christian,Leroy Stephen F.Arbitrage Martingales and Bubbles[J].Economics Letters.Vol.60,1998No.3:357-362
6.Ikenberry,Lakonishok,Vermaeleln.Market under-reaction to open market share repurchases.Journal of Financial Economics.1995(39):181-282
7.Kahn man Daniel,Paul Slavic,and Amos Tversky.Judgment under Uncertainty:Heuristics and Biases.New York:Cambridge University Press.1982
8.Kent Daniel and Sheridan Titman.Market Efficiency in an Irrational World.Financial Analysts Journal.November/December1999:28-40
9.Lopes,L.Between Hope and Fea.The Psychology of Risk.Advances in Experimental Social Psychology.1987(20):255-295
10.Markowitz.H.M.Portfolio selection.Journal of Finance.1952.7(1):77-91
11.Rompers,Paul and Andrew Me trick.Institutional Investors and Equity Prices.Working paper.1999
12.Sharpe.W.F.Capital asset prices:a theory of market equilibrium under conditions of risk.Journal of Finance.1964,19(9):425-442
13.Shefrin,Hersh,and Meir Stat man.Behavioral Capital Portfolio Theory.Journal of Financial and Quantitative Analysis.Vol.35,2000 no.2(June):127-151
14.Sheller R.irrational exuberance.Princeton,NJ:Princeton UniversityPress,2002
15.Siebenmorgen N.Weber M.A behavioral model for asset allocation,financial markets and portfolio management.2003,17(1):15-42
16.Simon Brands,David R.Gallagher,Adrian Looi.Active investment manager portfolios and preferences for stock characteristics:Australian evidence[R].SIRCA working paper.2002
17.贝政新,冯询.机构投资者发展研究[M].上海复旦大学出版社.2005
18.戴红美.两种典型公司治理模式对利益相关者诉求的体现企业改制合作.经济与科技.2006(2)
19.方青军.行为金融理论与非理性交易行为[J].经济师.2005(7)
20.耿志民。机构投资者研究.中国人民大学出版社.2002(11)
21.黄郡.机构投资者持股特征的实证分析.南方金融.2006年第9期
22.黄兴旺,朱楚珠.行为金融理论述评.经济学动态.2000(8):66-69.
23.黄伟.关于中国股票市场上基金重仓股的博弈分析[J].商业研究.2005(12)
24.胡倩。中国基金持股偏好实证研究[J].财经问题研究.2005
25.姜波克,薛斐.行为金融学的发展与探索[J].复旦学报.2004(5)
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