上升市場中機構投資者預期與收益關係的實證研究

An Empirical Study on the Relationship between Institutional Investors' Expectations and Returns in a Rising Stock Market

方勇(Yong Fang)

《管理科學與統計決策》 6卷3期 (2009/09) Pp. 35-44

https://doi.org/10.6704/JMSSD.2009.6.3.35

摘要

為了從一個特定的角度來考察機構投資者的投資行為，將機構持股比例作為機構投資者對上市公司盈利預期的代理變數，考察了機構投資者在市場大幅上升期間的預期與收益之間的關係，接著運用非線性雜訊考察了機構投資者的投資效率，最後對機構投資者在市場大幅上升期間的投資行為表徵及內在機制作了綜合的討論。結果表明，在特定的市場環境下，機構投資者可能會表現出比個體投資者更強的非理性和更低的投資效率。

關鍵字

上升市場 ； 機構持股比例 ； 投資效率 ； 非線性雜訊

並列摘要

To investigate the investment behavior of institutional investors form a special perspective, we inspect the relationship between institutional investors' expectations and returns in the period when the market is experiencing a rapid rise by using institutional ownership of a stock as a proxy for the expectation of institutional investors for future earning of the related listed company, then we inspect the investment efficiency of institutional investors by suing nonlinear noise, and finally the investment behavior tokens and intrinsic mechanism of institutional investors in a rising market are comprehensively discussed. As shown from the empirical results, we believe that in a specific market environment, institutional investors may put up stronger irrationalism and lower investment efficiency than individual investors.

並列關鍵字

Rising Stock Market ； Institutional Ownership ； Investment Efficiency ； Nonlinear Noise

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