机构卖出和暴跌风险:优势信息的作用

Institutional exits and stock crash:The role of informed investors

基于2014年~2016年沪市A股交易数据,从微观视角探索机构投资者的卖出行为(机构卖出)对个股股价暴跌风险的影响.研究发现,机构投资者的卖出比例每增加1个标准差,个股暴跌的可能性增加0.6%,占样本均值22.5%.进一步提出并验证机构投资者信息优势下的卖出交易信号传递机制,发现机构卖出增加未来个人投资者的跟风卖出,而且机构卖出与暴跌风险之间的正向关联在小市值、高成长、波动率大、个人投资者比例高和流动性较差的股票中更强.上述结论在控制其他公司和市场特征、引入公司固定效应、使用更多股票暴跌风险和机构卖出代理变量以及样本倾向得分匹配后均稳健存在.

Using a proprietary data-set on China’s stock market during January 1,2014 and December 31,2016,the paper constructs a stockday-level“informed selling”measure and provides micro evidence on whether and how institutional investors’exits affect stock price crash risk.Our findings show that institutional investors’exits can significantly predict individual stock price crash.A one-standard-deviation increase in the percentage of institutional investors’exits is associated with a 0.6 percent increase of individual stock crash risk(i.e.,extreme price movement to downside limit),which accounts for 22.5 percent of the sample mean.In terms of the economic mechanism,the paper verifies the signaling effect of institutional investors’informed selling and finds that retail investors in the market will significantly follow the institutional investors’exits to sell their shares.This effect turns to be stronger for firms with smaller assets,higher growth,higher volatility,more retail investors and lower liquidity,which suggests that the signal from these institutional investors’informed selling is more pronounced for these types of firms.The empirical results are very robust to the further control of additional firm-level control variables,firm-fixed effects,alternative measures of institutional exits and PSM analyses.This proprietary large-scale transaction data set tremendously improves the accuracy and creditability of our empirical results.