社会规范变化对证券市场机构投资者行为的影响

Social Norm Changes and the Behavior of Institutional Investors

本文以2008年发生的震惊全国的三鹿奶粉事件为背景,主要研究社会规范改变是否对证券市场机构投资者行为产生影响。检验证据表明,三鹿奶粉事件发生后,机构投资者在持有食品类上市公司股票时更多地考虑到了这类公司股票的风险与收益因素。公司规模和公司成立年限成为保证证券市场机构投资者收益的最重要因素。机构投资者在股票估值上更为关注食品类行业上市公司所能够给股东带来的回报。检验结果同时还表明,三鹿奶粉事件发生后,食品类行业中社会规范的改变已经引起证券市场机构投资者在食品类行业上市公司的持股比例、食品类上市公司的股票收益以及食品类上市公司股票估值上的结构性改变。研究结果说明社会规范对机构投资者行为具有相当程度的影响。本文的研究以我国的数据为基础,对Hong和Kacperczyk(2009)等关于社会学和证券市场关系的最新研究进行了检验和拓展。

With the nationwide notorious event of Sanlu poisonous milk powder happened in 2008, this paper empirically examines the economic consequences of social norm changes on the behavior of institutional investors. Results indicate that institutional investors will give more weight on factors of risk and return on food-related stocks after Sanlu milk powder event. Firm size and firm age are also main factors that influence institutional investors＇ decision on food-related stocks. As to valuation, institutional investors focus on the stockholder return in picking up food- related stocks. Meanwhile, we find that food safety social norm changes have induced systematic changes on institutional investors＇ shareholding, the return and valuation of food-related stocks. To sum up, social norms have significant impact on the behavior of institutional investors. This paper, based on China＇s data, extends the research of Hong and Kacperczyk（2009） on sociology and security market.