机构投资者持股、异质性与股价延迟度研究

A Study of Institutional Ownership, Heterogeneity and Stock Price Delay

本文选用2003-2011年沪深两市A股上市公司作为研究样本,实证检验机构投资者总体持股比例与股价延迟度之间关系,并在此基础上将机构投资者划分为压力抵制型与压力敏感型,进一步考察了不同类型机构投资者对上市公司股价调整速度的影响。研究发现:第一,机构投资者总体持股比例与股价延迟度之间呈U型关系,即机构投资者是积极参与公司治理还是与公司管理层合谋而被动投票,与其持股比例密切相关;第二,在上市公司两类机构投资者对立共存的情形下,如果压力抵制型机构投资者占优时,机构投资者将体现为监督效应,而压力敏感型机构投资者占优时,机构投资者将体现为被动参与公司治理或者是与管理层合谋的效应。该结果将有利于我们理解机构投资者在资本市场中所扮演角色的重要性。

This paper selects the A-share listed companies in Shanghai and Shenzhen Stock Exchange from 2003 to 2011 as research sample, and examines the relationship between institutional ownership ratio and stock price delay. We classify institutional investors into pressure-resisting type and pressure-sensitive type to further test the different types of institutional investors＇ impact on listed companies＇ price adjustment speed. The empirical results show that there is an U-shaped relationship between institutional ownership and stock price delay, namely, either institutional investors actively participate in corporate governance or passively vote under collusion with the management is closely related to shareholding ratio. In the case of the coexistence of two types of institutional investors, institutional investors reflect the supervision effect if the pressure-resisting type is dominant, otherwise, institutional investors reflect the passive participation in corporate governance or the effect of collusion with management if the pressure-sensitive type is dominant. Our findings are in favor of the understanding of the important role of institutional investors in capital market.