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论文编号：	4101
作者编号：	2120102312
上传时间：	2012/5/21 18:38:10
中文题目：	机构投资者行为如何影响超额收益率
英文题目：	The Impact of Institutional Investors’ Behavior on Excess Returns
指导老师：	古志辉
中文关键字：	机构投资者行为，分析师行为，超额收益率
英文关键字：	institutional investors’ behavior, analysts’ behavior, excess returns
中文摘要：	本文运用了2005年至2010年中国沪深A股市场的共798个数据样本，建立了七个面板数据回归模型，通过运用stata计量软件进行回归分析，得到了本文的回归分析结果。本文主要采用了实证分析的研究方法，基于有效市场假说和行为金融等相关理论基础本文建立了五个研究假设，为本文的研究模型的建立奠定了基础。基于本文的研究假设结合本文的研究对象主体，本文建立了七个回归分析模型对本文所要分析的机构投资者行为以及分析师行为进行分析研究。通过实证回归分析，运用相关计量软件本文得到了实证分析的结果。进而通过分阶段检验以及分组检验，文章检验了回归结果的稳健性。通过本文的实证研究以及稳健性检验，文章可以得到如下研究结论：首先，当前我国A股市场上，机构投资者持股行为与股票超额收益率存在负相关关系。其次，当前我国A股市场上，机构投资者的交易行为与股票超额收益率存在负相关关系。第三，在当前股市较低迷的情况下，分析师的关注度与股票超额收益率存在正相关关系，同时更多分析师选择关注的股票其市场表现往往较好。最后，分析师的评级情况与股票市场表现存在正相关关系，分析师评级打分情况越好股票的超额收益率越高。本文抛弃了现有研究以股票收益率为解释变量解释机构投资者行为对股票市场表现的影响，同时关注机构投资者交易行为对于股票市场表现的影响。与此同时，本文将机构投资者的行为与分析师的行为相联系，关注分析师的股票关注度以及其变动对于股票市场表现的影响。本文的研究旨在分析得出机构投资者以及分析师的行为通过何种方式对股票的超额收益率水平产生影响，对机构投资者的行为分成持股行为与交易行为两个方面，同时对于分析师的行为分成分析师对于股票的关注行为以及分析师的评级打分行为两个行为进行分析。本文的实证分析结果对于我国股票市场的成熟与发展具有一定的贡献性，同时本文的分析结果对于完善以及规范我国的股票市场具有借鉴意义。
英文摘要：	Using 798 data samples of 2005-2010 Shanghai and Shenzhen stock market, I build seven panel data regression models, through the use of stata measurement regression analysis software, I get the results of regression analysis. This paper uses empirical research methods, based on efficient market hypothesis and behavior finance theoretical basis this paper established five research hypothesis, this paper’s research model laid the foundation. Based on the assumption of this research combined with the object of this research subject, this paper established seven regression analysis model on the analysis of the behavior of institutional investors and analysts behavior research. Through the empirical regression analysis, related to the use of econometric software is obtained in this paper. Through the phased inspection and packet inspection, the paper examines the robust of regression results. Through the empirical study and the robustness test, I get the following conclusions: Firstly, in our current A stock market, institutional investors’ behavior and excess stock returns have a negative relationship. Secondly, in our current A stock market, institutional investors’ trading behavior and excess stock returns are negatively related. Thirdly, the current stock market is low, the analysts’ attention and stocks’ excess returns are positively related, but investors become more concerned about the stock analysts’ analysis. Finally, the analysts’ ratings and stocks’ market performance has positive correlation. In this paper, I abandon the present research which treat stock returns as explanatory variables to explain the relationship between the behavior of institutional investors and the stocks’ market performance, while I pay close attention to the institutional investor’ trading behavior in the stock market. At the same time, I also pay much attention to analysts’ behavior and its changes. This paper aims to analyze the behavior of institutional investors and analysts by the empirical research methods, institutional investors’ behaviors include institutional investors’ holding behavior and trading behavior, while analysts’ behavior can be divided into analysts’ attention for stock as well as the analysts’ rating act. The empirical results have a certain contribution regarding our country stock market’s maturity and development, at the same time, the analysis results have contribution to improve and regulate the stock market of our country.
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