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论文编号：	906
作者编号：	2120072061
上传时间：	2009/5/22 15:30:59
中文题目：	中国机构投资者持股偏好研究
英文题目：	Research on China Institutiona
指导老师：	武立东 教授
中文关键字：	中国股票市场 机构投资者 投资偏
英文关键字：	China stock market Institution
中文摘要：	从发达国家和中国的证券市场发展历程来看，机构投资者逐步扩大市场份额，成为资本市场一支重要力量是必然趋势。如果机构投资者的投资行为是有偏好性的，那么研究这种持股偏好就找到了资本市场变动变革的根本原因。 本文以机构投资者作为研究对象，结合国外文献运用中国股票市场的数据，使用文献综合法从公司财务指标和公司治理指标两个维度对机构投资者的持股偏好进行分析。为了保证理论分析的可靠性和准确性，运用实证分析法对股票市场一个波动周期内的财务指标（包括日常经营状况、股票市场表现、单只股票风险三方面）做多元统计回归，在此基础上，以财务指标作为控制变量，研究治理指标的直接影响（多元统计回归）和间接影响（财务与治理变量交叉项的回归）。这种以实证回归检验的方式证明了中国机构投资者行为模式的主要特点，以期为个人投资者和机构投资者提供投资选择依据，为中国证券市场研究者提供理论和实证研究证据，为资本市场监管者提供政策决策参考。 最终实证研究结果为：中国机构投资者持股比例与资产负债率在股指下降时负相关，与资产周转率在股指上升时正相关，与公司规模、每股收益、投资回报率正相关，与账面市值比负相关，在后期与换手率、市场风险负相关。在治理指标方面，中国机构投资者持股比例在市场下行区间与现金流权和控制权的偏离程度负相关，与第2至10大股东持股份额、年度股东大会出席率正相关，董事会是否设立审计委员会对市场风险的反向偏好产生了调节作用。 总体而言，中国机构投资者更为重视财务指标，将上市公司财务状况和股票市场表现、风险作为投资的主要标准，在此基础上会考虑公司的股权结构特征（控股股东利益输送和其他大股东的约束作用）以及利益相关者的保护，而经理层治理、董事会治理、监事会治理等指标没有引起足够重视。另外，中国机构投资者无论是对待财务指标还是治理指标，在股票指数下行区间都比上升区间重视，表明在牛市时降低了对指标的重视程度。
英文摘要：	From the development of developed countries and China securities market, it’s an inevitable trend for institutional investors to expand its market share and gradually become an important force. If institutional investors have their preferences and then research on the preferences of such shares would explore the root causes of change in capital market. In the paper, taking institutional investors as object, combined with foreign literatures and Chinese data, from the aspects of corporate finance and corporate governance, the study analyses institutional investors’ preference on shares. In order to ensure the reliability and accuracy of theoretical analysis, we use empirical analysis on the market data. At first, we make multivariate statistical regression on the financial indicators, including the day-to-day operating conditions, the stock market performance, and single-stock risk in a fluctuation cycle. On the basis of control variables, we then examine the direct impact of governance indicators (multiple regressions) and the indirect impact (the cross-variable regression of financial and governance). The empirical test proves the main characteristics of China institutional investors, provides a view for individual and institutional investors to make investment options, gives theoretical and empirical evidence to researchers on the China securities market, and serves market regulators policy advices. The final results of empirical studies give as follows: the ownership of China institutional investors is negative to debt-asset ratio in the down range, positive to asset turnover ratio in the raise interval, positive to company size, earnings per share, and return on investment, negative to book-to-market rate, and in the later negative to the exchange rate and market risk. From indicators of governance, China institutional investors ownership is negative to the gap of cash flow rights and controlling rights when downstream interval, and positive to the ownership of 2nd to 10th shareholders and AGM attendance rate. Besides, whether the board establishs an audit committee board supervision tends to strengthen the relation while market risk. In conclusion, China institutional investors pay more attention to financial indicators, including the day-to-day operating conditions of listed companies, the stock market performance, and single-stock risk. In addition, institutional investors would take into account the characteristics of the company’s ownership structure, including the tunneling of controlling shareholder and bound of other the major shareholders, as well as the protection of stakeholders. In other words, management governance, board governance, board of supervisors governance do not arouse enough attention. In addition, for either financial indicators or governance indicators, institutional investors pay more attention when down range than raise interval. The phenomenon indicates that china institutional investors regard less when the bull market.
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