机构投资者取得超额投资收益的相关因素分析

Analysis of Main Factors of the Abnormal Returns in Chinese A-share Stock Market

本文认为 ,中国A股市价普遍受实力投资者操纵行为的影响。并通过股票投资超额收益率 (Rc)与投资者人数变化率 (Gm)和大单持投率 (Dc)之间的关系分析 ,证实了这一假设。实力投资者投资股票的行为与上市公司的经营业绩及其增长无关 ,而与控股权转移、资产重组、重大项目投资和公司分配方案关系密切。指标分析显示 ,实力投资者有提前知晓为披露信息的可能。为了维护市场“三公”原则 ,保护中小投资者利益 ,发挥股票市场为经济发展服务的功能 ,建议对实力投资者的投资行为和上市公司的信息披露加强监管。

Band on the analysis of the relationship between abnormal returns and different variables,It was found that the price of chinese A share stock is mainly determined by the manipulation of substantial investors.In order to keep a correct orientation for china′s stock market,the suggestion is as follows:first the numbers and the structure of the investors should be put in public,next, the substantial stock holding account should be supervised to prevent substantial investors from using thousands of stock accounts to hide their manipulation behavior,and last, should promote such a investment value that the decision making is based on the development of industry or enterprises rather than a coud castle.