机构投资者能跑赢个人投资者吗？

Can Institutional Investors Beat Individual Investors?

机构投资者能否战胜个人投资者的问题受到国内外理论界和实务界的持续关注,本文从投资者的仓位变化这一角度对该问题进行了研究。本文发现在好消息公布之前,机构投资者的仓位增加,反之机构投资者的仓位减少,其仓位变化与股票收益存在正相关关系;而个人投资者采取了与机构投资者相反的操作策略,仓位变化与股票收益存在负相关关系。这些研究结果意味着机构投资者获得了高于个人投资者的投资收益。这一发现与很多西方学者的研究结果并不一致,说明在信息透明度较低的中国资本市场中,机构投资者能够通过知情交易获得更高的收益。本文的研究结论有助于拓展人们对知情交易与市场效率关系的认识。

Literatures based on overseas data consistently indicate that institutional investors＇ returns are lower than individual investors＇ returns. This paper investigates the return difference between institutional investors and individual investors from the view of position change. Before good news release, institutional investor will buy accurately, and before bad new release, institutional investor will sell accurately. Institutional investors＇ po- sition change is positively correlated with abnormal return. However, individual investors＇ position change is negatively correlated with abnormal return. Adopting the changes in holding positions around the financial disclosure time to measure the investors＇ information advantage, this paper reveals that institutional investors are better informed than individual investors. This paper enlightens us the role of informed trading in stock market efficiency.