共同机构投资者与股票市场定价效率

Common Institutional Investors and Stock Market Pricing Efficiency

提高股票市场定价效率对于完善资本市场功能和维护市场平稳运行具有重要意义。随着我国资本市场深化改革的持续推进,同时持股同行业多家公司的共同机构投资者日益增多,其持股的经济后果值得关注。文章以2007—2021年中国沪深A股上市公司为样本,探究共同机构投资者对股票市场定价效率的影响。研究发现,共同机构投资者显著降低了股票市场定价效率,结论支持合谋效应假说;作用机制检验发现,共同机构投资者通过降低信息披露质量和信息效率方式营造信息壁垒,以及通过与管理层合谋加剧代理问题,降低股票市场定价效率;进一步研究发现,交易型和业务依赖型共同机构投资者更易发生合谋行为,而严格的行业监管、较大的媒体压力、较高的独立董事独立性以及较高的投资者保护水平和市场竞争水平,可以发挥良好的内外部监督治理作用,有效抑制共同机构投资者对股票市场定价效率的负面影响。文章对完善资本市场功能和发挥共同机构投资者功能有所启示。

The improvement of stock market pricing efficiency is important for promoting the function of the capital market and maintaining the smooth operation of the market.As the deepening reform of China's capital market continues to advance,common institutional investors holding shares in many companies in the same industry have gradually entered the public's field of vision,and the economic consequences of their shareholding are worth paying attention to.However,in view of the advantageous characteristics of common institutional investors and the specificity of their investment objectives,it is still controversial whether they can improve the pricing efficiency of the stock market and whether they have a positive effect on the capital market.Taking China's A-share listed companies in Shanghai and Shenzhen as the sample,this paper explores the impact of common institutional investors on stock market pricing eficiency.The results show that common institutional investors significantly reduce stock market pricing eficiency,supporting the collusion effect hypothesis.Mechanism testing finds that common institutional investors reduce stock market pricing efficiency by creating information barriers through lowering the disclosure quality and efficiency of information,and exacerbating the agency problem through colluding with the management.Further analysis finds that transactional and business-dependent common institutional investors are more prone to collusive behavior,while stricter industry regulation,greater media pressure,higher independence of independent directors,as well as higher levels of investor protection and market competition can play the role of good internal and external supervision and governance,which effectively inhibit the negative impact of common institutional investors on stock market pricing efficiency.This paper not only enriches the research on the economic consequences of common institutional investors on the capital market,but also provides references on how to improve the functioning of the capital market by examining in depth the mitigation mechanism of the collusion effect of common institutional investors.