我国机构投资者持股影响因素研究
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摘要
我国在2001年提出了“超常规发展机构投资者”这一观念,近几年我国机构投资者得以迅速发展。2008年我国各类机构投资者总规模约为509044.58亿元,比2001—2002年机构投资者总资产规模增加24.71倍。随着机构投资者规模的发展,机构投资者逐渐成为证券市场上的一大投资主体。在机构投资者规模发展的同时,我国证券市场上的机构投资者种类也逐渐完善,目前我国证券市场上已经形成证券投资基金、证券公司、保险公司、QFII、社保基金、企业年金、一般机构投资者(三类企业)等共同发展的格局。机构投资者不仅掌握较大规模的资金,而且具有专业、理性的投资理念,能够在事前的定价机制和事后的监督机制两个方面发挥积极的作用,不仅有利于证券市场的稳定而且对上市公司起到良好的监督作用。
本文研究影响机构投资者持股的因素,目的是弄清机构投资者在做投资决策之时考虑哪些因素,以便对症下药提高机构投资者持股比例。随着机构投资者持股比例的提高,“用脚投票”成本增加,促使机构对上市公司经营管理进行监督的积极性越来越强。另外机构投资者的发展壮大对于证券市场发展能够起到稳定作用。本文采用定性分析与定量分析相结合的方法,全文共分为五章。第一章是导论,介绍本文的研究背景、研究意义以及本文的基本框架、技术路线、可能的创新与不足。第二章,机构投资者持股相关理论概述。这一章首先对机构投资者进行界定,在目前的研究中对于机构投资者还没有形成统一的定义,本文总结前人的研究成果,提出本文对于机构投资者的界定。其次,回顾了本文研究机构投资者持股影响因素所依托的相关理论,介绍了委托代理理论和机构投资者“审慎人”假说。再次,对有关机构投资者持股的文献进行了回顾。这一章的文献综述和理论回顾,是本文实证分析的理论基础和提出研究假设的基础。第三章对机构投资者持股的影响因素进行分析。这一章首先对我国机构投资者持股现状进行了说明,其次从公司业绩、公司治理、行业影响三个方面提出影响机构投资者持股的主要因素。第四章对机构投资者持股影响因素进行实证分析。这是本文的重要内容,运用面板数据对机构投资者持股比例与各种影响因素进行实证研究,并对实证结果进行分析。第五章主要根据前文的论述和实证分析结果,总结本文的研究结论,并对我国机构投资者发展、促进机构投资者持股提出建议和措施。
In recent years, China's institutional investors have got rapid development, since our country put forward the concept of "extraordinary development of institutional investors" in 2001. The total size of China's various types of institutional investors was 50,904.458 billion Yuan in 2008, Compared with 2001-2002, the size of total assets of institutional investors increased 24.71 times. As the scale of institutional investors developed, institutional investors have gradually become a major investor in the securities market. While the development of the scale of institutional investors, the types of institutional investors have gradually improved in China's securities market. At present, China's securities market has been formed on securities investment funds, securities companies, insurance companies, QFII, the social security funds, corporate pension and common institutional investors and so on. Institutional investors not only have large-scale capital, but also have professional and rational investment philosophy. They play an active role in prior pricing mechanism and the monitoring mechanism afterward. Institutional investors play a role in the stability of securities market and a supervisory role in listed companies.
This thesis makes a research on stock-holding impact factors of institutional investors. The aim of this research is to clarify the factors before institutional investors make investment decisions and to raise the proportion of share-holding of institutional investors. As institutional investors increase the proportion of share-holding, the cost of "vote with their feet" increase, so the impetus of monitoring the operation and management of listed companies increases. In addition the development and expansion of institutional investors can play a stabilizing role on the securities market. In this thesis, qualitative analysis and quantitative analysis are used. The full thesis is divided into five chapters. Chapter one deals with the background of the subject, the significance of the research, as well as the research framework, innovation and defect. Chapter two is the overview of related theories of stock-holding of institutional investors. This chapter first defines the concept of institutional investors, in the current studies for the institutional investors have not yet form a unified definition about institutional investors, this chapter summarize the results of previous research, and proposes the definition for institutional investors. Secondly, this chapter reviews the related theory of stock-holding of institutional investors, and introduces the principal-agent theory and institutional investors "prudent person" hypothesis. Third, this chapter reviews the past research on stock-holdings of institutional investors. The literature and theories review are the theoretical basis for empirical analysis and the basis of assumptions. The third chapter analyzes the stock-holding influence factors of institutional investors. First introduces the status of stock-holding influence factors of institutional investors in our country; then analyzes the stock-holding influence factors of institutional investors from performance of the company, corporate governance and industry impact. Chapter four is empirical analysis on stock-holding influence factors of institutional investors, and this is an important aspect of the thesis. Through the panel data analyzes the relationship between the proportion of the stock-holding of institutional investors and a variety of influencing factors, and analyzes the empirical results. Chapter five summarizes the research findings on the basis of empirical results and earlier discuss of the thesis. At last, proposes some policy recommendations that improve the development of China's institutional investors and promote the proportion of the stock-holding of institutional investors
本文研究影响机构投资者持股的因素,目的是弄清机构投资者在做投资决策之时考虑哪些因素,以便对症下药提高机构投资者持股比例。随着机构投资者持股比例的提高,“用脚投票”成本增加,促使机构对上市公司经营管理进行监督的积极性越来越强。另外机构投资者的发展壮大对于证券市场发展能够起到稳定作用。本文采用定性分析与定量分析相结合的方法,全文共分为五章。第一章是导论,介绍本文的研究背景、研究意义以及本文的基本框架、技术路线、可能的创新与不足。第二章,机构投资者持股相关理论概述。这一章首先对机构投资者进行界定,在目前的研究中对于机构投资者还没有形成统一的定义,本文总结前人的研究成果,提出本文对于机构投资者的界定。其次,回顾了本文研究机构投资者持股影响因素所依托的相关理论,介绍了委托代理理论和机构投资者“审慎人”假说。再次,对有关机构投资者持股的文献进行了回顾。这一章的文献综述和理论回顾,是本文实证分析的理论基础和提出研究假设的基础。第三章对机构投资者持股的影响因素进行分析。这一章首先对我国机构投资者持股现状进行了说明,其次从公司业绩、公司治理、行业影响三个方面提出影响机构投资者持股的主要因素。第四章对机构投资者持股影响因素进行实证分析。这是本文的重要内容,运用面板数据对机构投资者持股比例与各种影响因素进行实证研究,并对实证结果进行分析。第五章主要根据前文的论述和实证分析结果,总结本文的研究结论,并对我国机构投资者发展、促进机构投资者持股提出建议和措施。
In recent years, China's institutional investors have got rapid development, since our country put forward the concept of "extraordinary development of institutional investors" in 2001. The total size of China's various types of institutional investors was 50,904.458 billion Yuan in 2008, Compared with 2001-2002, the size of total assets of institutional investors increased 24.71 times. As the scale of institutional investors developed, institutional investors have gradually become a major investor in the securities market. While the development of the scale of institutional investors, the types of institutional investors have gradually improved in China's securities market. At present, China's securities market has been formed on securities investment funds, securities companies, insurance companies, QFII, the social security funds, corporate pension and common institutional investors and so on. Institutional investors not only have large-scale capital, but also have professional and rational investment philosophy. They play an active role in prior pricing mechanism and the monitoring mechanism afterward. Institutional investors play a role in the stability of securities market and a supervisory role in listed companies.
This thesis makes a research on stock-holding impact factors of institutional investors. The aim of this research is to clarify the factors before institutional investors make investment decisions and to raise the proportion of share-holding of institutional investors. As institutional investors increase the proportion of share-holding, the cost of "vote with their feet" increase, so the impetus of monitoring the operation and management of listed companies increases. In addition the development and expansion of institutional investors can play a stabilizing role on the securities market. In this thesis, qualitative analysis and quantitative analysis are used. The full thesis is divided into five chapters. Chapter one deals with the background of the subject, the significance of the research, as well as the research framework, innovation and defect. Chapter two is the overview of related theories of stock-holding of institutional investors. This chapter first defines the concept of institutional investors, in the current studies for the institutional investors have not yet form a unified definition about institutional investors, this chapter summarize the results of previous research, and proposes the definition for institutional investors. Secondly, this chapter reviews the related theory of stock-holding of institutional investors, and introduces the principal-agent theory and institutional investors "prudent person" hypothesis. Third, this chapter reviews the past research on stock-holdings of institutional investors. The literature and theories review are the theoretical basis for empirical analysis and the basis of assumptions. The third chapter analyzes the stock-holding influence factors of institutional investors. First introduces the status of stock-holding influence factors of institutional investors in our country; then analyzes the stock-holding influence factors of institutional investors from performance of the company, corporate governance and industry impact. Chapter four is empirical analysis on stock-holding influence factors of institutional investors, and this is an important aspect of the thesis. Through the panel data analyzes the relationship between the proportion of the stock-holding of institutional investors and a variety of influencing factors, and analyzes the empirical results. Chapter five summarizes the research findings on the basis of empirical results and earlier discuss of the thesis. At last, proposes some policy recommendations that improve the development of China's institutional investors and promote the proportion of the stock-holding of institutional investors
引文
2 高雷,李跃,宋顺林.公司治理与机构投资者持股偏好研究综述[J].开发研究,2006(4)：P103-105.
8 注：中国数据截至2007年底,美国、韩国数据截至2006年底,英国、日本数据截至2005年底。数据来源：中国证监会、世界银行。
9 世界银行.公司治理结构：一个执行的框架,1998(8)。
10 OECD公司治理特别委员会.OECD公司治理原则,1999(5)。
11 伦敦证券交易所公司治理委员会.Hampel：综合准则,1998(6),1999。
12 美国商业圆桌会议.美国商业圆桌会议公司治理声明,1990。
13 数据来源：根据CCER数据库、巨潮咨询网等。
17 张晓桐：计量经济学软件Eviews使用指南[M].天津：南开大学出版社,2003(7)：P277。
18 姚会元,孙玲.美国机构投资者的发展进程及其借鉴[J].中南财经政法大学学报,2006(4)：P65-73。
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8 注：中国数据截至2007年底,美国、韩国数据截至2006年底,英国、日本数据截至2005年底。数据来源：中国证监会、世界银行。
9 世界银行.公司治理结构：一个执行的框架,1998(8)。
10 OECD公司治理特别委员会.OECD公司治理原则,1999(5)。
11 伦敦证券交易所公司治理委员会.Hampel：综合准则,1998(6),1999。
12 美国商业圆桌会议.美国商业圆桌会议公司治理声明,1990。
13 数据来源：根据CCER数据库、巨潮咨询网等。
17 张晓桐：计量经济学软件Eviews使用指南[M].天津：南开大学出版社,2003(7)：P277。
18 姚会元,孙玲.美国机构投资者的发展进程及其借鉴[J].中南财经政法大学学报,2006(4)：P65-73。
[1]Badrinath, S. G. Gay, J. Kale. Patterns of Institutional Investment, Prudence, and the Managerial "safety-net" Hypothesis [J]. Journal of Risk and Insurance,198956 (4):605-630.
[2]Brancato C. The Brancato report on institutional investors. Riverside Economic Research,1993 (12)
[3]Chiu P., Monin J. Effective Corporate Governance:from the perspective of New Zealand fund managers [J]. Corporate Governance:An International Review 2003 (11):123-131.
[4]Fama E. F. Agency Problems and the Theory of the Firm [J]. Journal of Political Economy, 1980 (88).
[5]Jensen M. C. The modern industry revolution exit and the failure of internal control systems [J]. Journal of Finance,1993 (48).
[6]OECD. OECD Principles of Corporate Governance,1999.
[7]Randall Morck, Andrei Shleifer, Robert W. Vishny. Management Ownership and Corporate Performance:An Empirical Analysis. NBER Working Papers 2055, National Bureau of Economic Research, Inc.1986.
[8]Robert Neumann, Torben Voetmann. Demand Curves for European Stocks Slope Down Too [J]. Review of Finance.2003,7 (3):437-457.
[9]Useem, M., Bowman, E., Myatt, J., and Irvine, C. US Institutional Investors Look at Corporate Governance in the 1990s [J]. European Management Journal 1993 (11):175-189.
[10]Wolfgang Gerke, Matthias Bank, Max Steiger. The changing role of institutional investors—a German perspective,2000.
[11]常雅坤.我国上市公司股权激励问题研究[J].湖北经济学院学报(人文社会科学版),2009(1)：P32-34.
[12]陈敏,杜才明.委托代理理论述评[J].中国农业银行武汉培训学院学报,2006(6)：P76-78.
[13]陈晓丽,宋晓宁,楼瑜.机构投资者持股对上市公司透明度影响的实证分析[J].经济论坛,2007(18)：P111-116.
[14]程书强.机构投资者持股与上市公司会计盈余信息关系实证研究[J].管理世界,2006(9)：P129-136.
[15]戴中亮.委托代理理论述评[J].商业研究,2004(19)：P98-100.
[16]董先锋.QFII与我国上市公司治理研究[D].浙江大学硕士论文,2007(6).
[17]高雷,李跃,宋顺林.公司治理与机构投资者持股偏好研究综述[J].开发研究,2006(4)：P103-105.
[18]谷佩云,我国上市公司独立董事制度存在的问题及重构[J].财会研究,2009(1)：P54-55.
[19]何亚东,胡涛.委托代理理论述评[J].山西财经大学学报,2002(6)：P62-65.
[20]胡倩.中国基金持股偏好的实证研究[J].财经问题研究,2005(5)：P50-55.
[21]江向才.公司治理与机构投资者持股之研究[J].南开管理评论,2004(1)：33-40.
[22]兰文静.机构投资者投资行为与绩效研究[D].西南财经大学硕士论文,2006(4).
[23]李维安,唐跃军.公司治理评价、治理指数与公司业绩—来自2003年中国上市公司的证据[J].中国工业经济,2006(4)：P98-107.
[24]梁琳琳.中国证券投资基金持股偏好研究[D].大连理工大学硕士学位论文,2007年(12).
[25]娄伟.基金持股与上市公司业绩相关性的实证研究[J].上海经济研究,2002(6)：P58-62.
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