机构投资者会提高股价崩盘风险吗?——基于投资组合视角

Will Institutional Investors Increase the Risk of a Crash?:Based on the Portfolio Perspective

以中国2003—2019年持有A股上市公司股票为样本,基于投资组合视角研究机构投资者异质性对股价崩盘风险的影响。研究发现:机构投资者参与公司治理意愿受到投资组合影响,监督型机构投资者不会显著增加企业股价崩盘风险;相反,非监督型机构投资者会显著增加企业股价崩盘风险。影响机制检验显示,非监督型机构投资者通过增加信息不对称程度加剧了股价崩盘风险;进一步研究发现,相比于其他企业,非国有和公司治理水平低的企业中非监督型机构投资者对股价崩盘风险的加剧作用更为显著。以投资组合为研究起点,探讨机构投资者异质性对股价崩盘风险的非对称影响,为证监会引导机构投资者积极参与治理、降低股价崩盘风险提供理论依据。

Based on the samples of Chinese A-share listed companies from 2003 to 2019,this paper studies the impact of institutional investors’heterogeneity on stock price crash risk from the perspective of portfolio.The results show that the willingness of institutional investors to participate in corporate governance is influenced by the investment portfolio.Supervisory institutional investors do not significantly increase the risk of stock price crash,but non-supervisory institutional investors significantly increase the risk of stock price crash.The influence mechanism test shows that unsupervised institutional investors increase the risk of stock price crash by increasing the degree of information asymmetry.Further research shows that,compared with other enterprises,non-supervisory institutional investors in non-state-owned enterprises and enterprises with low corporate governance levels have a more significant role in aggravating the risk of stock price crash.Taking portfolio as the starting point,this paper explores the asymmetric impact of institutional investors’heterogeneity on the risk of stock price crash,and provides a theoretical basis for CSRC to guide institutional investors to actively participate in governance and reduce the risk of stock price crash.