“稳定器”还是“助推器”?——机构投资者持股与股票异常收益风险

Stabilizing or Boosting: Impacts of Institutional Investors on the Risk of Stock Abnormal Returns

以2008—2017年中国A股上市公司为研究对象,运用面板Poisson回归从静态、动态及异质性视角分析机构投资者在个股异常收益风险中的作用。结果表明:从持股静态水平上看,机构投资者持股比重上升并不会起到稳定公司未来股价的作用,反而会加剧个股在未来的异常收益风险,且这一风险叠加效应具有非对称特征,即持股比重上升对股价暴跌风险的影响较为明显;从持股动态变化上看,机构“净增持”并不会助推当期股价暴涨,但“净减持”却会加剧当期股价暴跌;从风险叠加效应的异质性上看,公司规模越大(机构进出越便利)、机构股权集中度越高时,对异常收益风险的正冲击越强。此次研究对机构投资者在资本市场收益异常波动中究竟是扮演了“稳定器”角色还是“助推器”角色进行了识别,为优化机构投资者监管、防范股价异常波动风险提供了参考依据。

Taking Chinese A-share listed companies from 2008 to 2017 as the research objects,this paper uses panel Poisson regression to analyze the role of institutional investors in the risk of individual stock abnormal return from the static,dynamic and heterogeneous perspectives.The results show that on the static level of shareholding,the rise in the proportion of institutional investors’holdings increases abnormal return risk of individual stocks in the future instead of stabilizing the company’s future stock price,and this risk superposition effect is asymmetric,namely,the impact of rising shareholding ratio on stock price crash risk is more obvious.On the dynamic change of shareholding,“net increase in holdings”of institutions does not boost the current stock price,but“net reduction”aggravates the stock price collapse in the current period.From the perspective of heterogeneity of risk superposition effect,the larger the size of the company(the more convenient the institution is to enter and exit),the stronger the positive impact of institutional ownership on abnormal return risk;and the higher the ownership concentration of institutional investors,the stronger the positive impact.This paper identifies whether institutional investors play the role of“stabilizer”or“booster”in abnormal volatility of capital market,and provides an empirical basis for improving the supervision of institutional investors and preventing abnormal volatility risk of stock price.