投资评级发布日的机构投资者行为与证券的异常收益--来自上海证券市场的证据

Institutional Investors' Behavior and Abnormal Returns around the Analysts' Stock Recommendation Release Events:Evidence from Shanghai Stock Exchange

机构投资者是证券市场的重要参与者,由于其交易资金的庞大,往往会对证券市场的交易价格产生显著的影响。本文借鉴Chen和Hong(2006)事件研究的方法,使用上海证券交易所发布的日度机构持仓数据,对机构投资者在投资评级发布日的行为进行了分析。发现在我国机构投资者的投资存在着以正反馈交易为代表羊群效应特征,并且在短期交易还有一定的惯性特征。

As the key participants of the securities market, institutional investors tend to affect the stock price significantly owing to their huge amount of trading. Using event study method in Chen ＆ Hang （2006） for reference, the authors apply daily data of institutional holdings from the Shanghai Stock Exchange to analyze institutional investors＇ behavior around analysts＇ stock recommendations release events. The paper finds that there is a positive feedback trading, showing herding behavior between institutional investors, and also the short-time trading exhibits a characteristic of momentum investing.