机构投资者持股比例有效性轨迹变化探析——来自房地产行业的历史证据

Path Changes in Effectiveness of Ownership Proportion by Institutional Investors——Historical Evidence from the Real Estate Industry

2001年以来机构投资者的发展过程恰好经历了牛市与熊市两种市场环境的变更。那么,机构投资者在两种市场环境下有哪些作为,机构投资者持股比例的有效性变化轨迹如何?通过对2001—2007年房地产行业上市公司每年的截面数据回归和统计分析可知:EPS、ROA、ROE、CROA四种绩效指标的边际变化在2005年均达到峰值,机构投资者持股比例与公司绩效的边际变化最大。在中国股市持续走低的熊市期间,EPS、ROA、CROA三条曲线呈上升趋势,而在股票的牛市期间,四种绩效指标的边际变化呈下滑走向。同时,机构投资者持股量对绩效指标中的EPS影响最大,在2005年时反映尤为突出。在熊市尾期的2005年机构投资者持股量的平均值处在相对最高的位置。

Institutional investors have experienced bull market and bear market since 2001. What was their behavior like under the two market environments, and how did the effectiveness of their ownership proportion change？ This paper makes a panel data analysis of listed real estate companies for 2001 - 2007 and the findings are as follows： marginal changes in earnings per share （EPS） , returns on assets （ROA） , returns on equity （ ROE ） and critical business return on assets （CROA） reached a peak in 2005, with the greatest marginal change in institutional ownership proportion and corporate performance; there was an upward trend in EPS, ROA and CROA in bearish times and a downward trend in bullish days. In the meantime, among the performance indicators, institutional ownership proportion had the biggest impact on EPS, especially in 2005 ; average institutional ownership proportion reached a relative high in 2005, at the end of the bearish market.