摘要
发挥公募基金等机构投资者维护市场稳定中的作用,对我国资本市场发展意义重大,然而,我国公募基金投资行为散户化一直饱受诟病。本文建立理论模型提出,在基金共同持股情形下,面对负面信息时的竞争性抛售行为,是导致股价崩盘的重要机制。结合理论预测,并使用2010-2022年基金季度持仓数据,本文验证了该影响机制,发现基金重仓持股比例与股价崩盘风险显著正相关。持股基金的集中程度越高、长期持股倾向越强、业绩短期排名压力越轻,越有助于减轻基金持股对股价崩盘风险的影响。本文的结论,有助于深入理解基金共同持股下的策略性博弈与竞争行为如何导致股价暴涨暴跌,丰富了从投资者交易行为解释股价崩盘风险的相关文献。
China's stock market is facing a severe problem of excessive stock price volatility.The mutual fund industry in China has experienced remarkable growth over the past two decades.In April 2022,the China Securities Regulatory Commission(CSRC)issued opinions promoting the high-quality development of the mutual fund industry and emphasized the importance of mutual funds in serving the capital market.However,anecdotal reports of panic selling by mutual funds raise concerns about the potential impact of public mutual funds on the stock price crash risk.Research primarily focuses on the role of information asymmetry in explaining stock price crash risks,suggesting that institutional investors influence this risk through mechanisms such as corporate governance,collusion,or information mining,which affect the transparency of the information environment and the release of negative news(Chen et al.,2001;Jin and Myers,2006;Callen and Fang,2013).However,another direct mechanism,namely competitive trading behavior in response to negative news,may be at play.To illustrate this new perspective,the paper first constructs a continuous-time trading model with multiple institutional investors.The real-time asset price is set to consist of three important components.The first component represents the trading needs of uninformed noise traders and is modeled as white noise with no drift term.The second component captures the permanent price impact,which is related to inventory in the hands of institutional investors.The third component captures the transitory price pressure from instantaneous trading.Each institutional investor with a mean-variance utility function determines their individual trading speed to maximize the expected payoff in a given period of time.The optimal dynamic trading trajectory for each participant is derived,and the asset price dynamics are characterized as a result of aggregation.Given the total position adjustment for the group of institutional investors,the asset price skewness is then easily obtained as an
作者
曾伟
徐忠
李尚宸
沈吉
王翀
ZENG Wei;XU Zhong;LI Shangchenn;SHEN Ji;WANG Chong(China Investment Corporation National Association of Financial Market Institutional Investors;Center for Financial Innovation and Development,The University of Hong Kong,China;Guanghua School of Management,and Key Laboratory of Mathematical Economics;and Quantitative Finance(Peking University),Peking University;Guanghua School of Management,Peking University)
出处
《金融研究》
北大核心
2024年第2期187-206,共20页
Journal of Financial Research
关键词
基金共同持股
投资行为
股价崩盘风险
负面信息
竞争性抛售
Mutual Funds'Joint Ownership
Investment Behavior
Crash Risk
Negative News
Competitive Selling
