摘要
竞争是导致机构投资者策略和行为变化的重要原因。本文以卖空约束解除作为机构投资者交易收益竞争的外生冲击,以机构投资者访问上市公司强度衡量其信息搜寻努力,分析了交易收益竞争对机构投资者信息搜寻努力的影响。研究发现:竞争程度的外生增加使得机构投资者访问强度下降,而股票收益降低在此过程中起到了中介作用;基于成本收益框架的异质性分析结论显示,交易收益竞争导致信息搜寻不再具备规模经济性从而抑制了机构投资者的努力动机。在资本市场深化改革和持续开放的背景下,准确识别机构投资者竞争行为及影响具有重要的现实意义,本文结论将为监管层相关政策的完善提供参考。
Competition is an important cause in changes of strategies and behaviors of institutional investors.This paper uses the remove of short-selling constraints as an exogenous shock on institutional investors’benefit competition and measures their information seeking efforts with the visit intensity to the listed companies in order to analyze the impact of benefit competition on their information seeking efforts.The conclusions show that the exogenous enhance of competition caused by the remove of short-selling constraints declines the visit intensity,while the reduction of trading return plays a mediating role in this process.Heterogeneity analysis based on the cost-benefit framework shows that information seeking does not have the scale effect when the institutional investors face competition,which upsets the investors’seeking efforts.In the context of deepening reform of the capital market and continual opening,it is important to identify the competitive behavior of institutional investors and its impact.The conclusions will provide a reference for the relevant policies.
作者
王江元
孔东民
Wang Jiangyuan;Kong Dongmin(School of Economics and Business Administration,Central China Normal University;School of Economics,Huazhong University of Science and Technology)
出处
《经济评论》
CSSCI
北大核心
2020年第3期131-148,共18页
Economic Review
基金
教育部人文社会科学研究青年项目“机构投资者信息竞争、公司行为与市场波动研究”(项目编号:18YJC790163)
国家自然科学基金面上项目“公司事件、信息优势和投资者交易”(项目编号:71772178)的资助
关键词
交易收益竞争
卖空约束解除
信息搜寻努力
机构投资者访问
Competition of Trading Profits
Remove of Short-Selling Constraint
Information Seeking Efforts
the Visit of Institutional Investors
