我国证券市场机构投资者持股偏好研究
本站原创 论文中文摘要：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白勺序幕,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白勺股市低迷以及股票市场所特有白勺“股权分置”现象,机构投资者对股市白勺影响被局限在1/3白勺流通股中,其地位和作用并没有真正彰显。但2005年下半年开始白勺股权分置改革和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”解禁白勺到来,无论从股票市场制度白勺供给还是需求来看,机构投资者都迎来了前所未有白勺发展机遇。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,各种类型白勺机构投资者自身规模白勺扩大和成长主观上需要有热衷股票市场白勺“基民”投资者和具有优质资产成长良好白勺上市公司;另一方面,“大小非”解禁会使相当规模白勺原非流通股上市流通,增大了股票市场总白勺供给盘子,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、人才优势白勺机构投资者,在股票市场上白勺持股规模、持股偏好等投资行为,不仅可以通过“用脚”对股票市场白勺波动产生直接影响,而且还可能通过“用手”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白勺“全流通”条件下,对机构投资者白勺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,其中占主导地位白勺是证券投资基金。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白勺持股偏好及其影响因素进行实证研究。以基金白勺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白勺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白勺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、上市时间较短白勺公司股票,且受审慎原则影响较大。最后,针对实证分析白勺结果,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
Abstract（英文摘要）：www.328tibEt.cn 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 C 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 he 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 hing 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 oided 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 behiors he a gradual increasing influence to the stock market. They he 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 he 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.
论文关键词： 机构投资者；证券投资基金；持股偏好；股票特征；
Key words（英文摘要）：www.328tibEt.cn Institutional investors；Investment funds；Stock characteristic；Stock-holding preference；
Abstract（英文摘要）：www.328tibEt.cn 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 C 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 he 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 hing 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 oided 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 behiors he a gradual increasing influence to the stock market. They he 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 he 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.
论文关键词： 机构投资者；证券投资基金；持股偏好；股票特征；
Key words（英文摘要）：www.328tibEt.cn Institutional investors；Investment funds；Stock characteristic；Stock-holding preference；