摘要
本文基于分组讨论和回归分析的方式,对机构投资者的持仓变动在不同货币政策环境下对股票收益的影响进行了研究。结果表明,机构投资者在货币政策紧缩时期的增持行为会带来更高的股票收益,而在货币政策宽松时期的减持行为则会带来更低的股票收益。进一步的分析表明,机构投资者在货币政策宽松时期有更高的买入羊群行为,而在紧缩时期有更高的卖出羊群行为。本文认为机构投资者逆货币政策环境的买卖更能体现其投资能力。
This paper studies the interactive impact of institutional trading and monetary policy on stock returns, based on sorting-analysis and regression. Results from this paper show that, the increasing holding of institutions under restrictive monetary policy predicts higher stock returns, while the decreasing holding under expansive monetary policy predicts worse stock returns. Further analysis indicates that, there’s higher institutional buy-herding during expansive periods, but there’s higher institutional sell-herding during restrictive periods. It comes to the conclusion that the institutional trading against the monetary policy exhibits better predictive ability on stock returns.
出处
《投资研究》
CSSCI
北大核心
2018年第10期122-133,共12页
Review of Investment Studies
关键词
机构投资者
货币政策环境
羊群行为
institutional investors
monetary policy
herding behavior
