机构投资者信息共享与股价崩盘风险——基于社会关系网络的分析
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摘要
机构投资者之间除了信息竞争,在很多情况下还会选择共享信息。信息共享提高了市场定价效率,从而对于股价崩盘风险具有重要影响。本文采用社会关系网络结构变量来衡量信息共享效率,基于2004—2017年我国A股市场与公募证券投资基金数据对于机构投资者之间的信息共享对于股价崩盘风险的影响进行了实证检验。研究表明:机构投资者信息共享降低了股价崩盘风险,市场定价效率的提升是其中重要的作用路径;随着机构投资期限的延长,信息共享降低股价崩盘风险的作用将得到增强;机构投资者之间的信息共享提高了股价的短期特质波动,降低了股价的长期特质波动。本文从社会关系网络的视角探讨了私有信息及其传播对于机构投资者决策以及股价的影响,为股价崩盘风险影响因素研究提供了新的视角。
There is not only information competition among institutional investors,but also cooperation,which is particularly common for transactional institutional investors,such as public securities investment funds.Information sharing can improve the pricing efficiency for the market,which could eliminate information asymmetry between managements and investors to a certain extent.So it could reduce the crash risk for individual stock.The social network between the investors is the main way to obtain private information for them.Investors usually actively acquire information through social relations when making decisions.Much survey and empirical research show that the institutional investors who hold the same shares massively would like share information.So we assume that there are private information exchanges between the funds holding the same shares in heavy positions.This paper measures the efficiency for information sharing by the structural characteristic variables of social network,such as degree centrality,density,and cluster.Based on the data of China A-share market and public securities investment funds from 2004 to 2017,it makes an empirical analysis on the relationship between information sharing and the crash risk for individual stock.The main conclusions are as follows:Firstly,there is a significant positive correlation between information sharing and pricing efficiency for the market,which implies information sharing between institutional investors maybe promote the pricing efficiency.Meanwhile there is a significant negative correlation between information sharing and crash risk,that is,information sharing may reduce the crash risk.Moreover,market pricing efficiency is an important intermediary variable between them.This may be because the information sharing improves the comprehensiveness,accuracy and instantaneity of information for the market.Secondly,with the extension of investment term,the role of information sharing in reducing the crash risk will be strengthened.This may be due to the fact that institutional investors with longer term are more dependent on private information,so information sharing has a greater impact on their behavior.Thirdly,information sharing improves the short-term volatility of stock prices and reduces the long-term volatility of stock prices.This may be because information sharing among institutional investors improves the consistency of their trading operations,which has a short-term impact on stock prices.However,in the long run,information sharing can improve the effectiveness of the market and inhibit the volatility of stock price.In this paper,the social network is introduced into the research on behavior of institutional investors,and the relationship between information sharing and the crash risk.It expands the research on the impact of institutional investors on the crash risk and the stability of stock market.From the perspective of social network,this paper explores the impact of private information and its dissemination on institutional investors decision-making and stock prices,which also provides a new perspective for the study of factors affecting the crash risk.In addition,based on the research methods and conclusions of this paper,it can help regulators identify institutional investors who have important impact on market stability and take targeted measures to stabilize the market.They can identify institutional investors who play an important role in information transmission and supervise them pertinently.Information sharing can improve market pricing efficiency,but the regulators should pay close attention to whether institutional investors who are more closely connected in the information network are suspected of collusion and manipulation.
There is not only information competition among institutional investors,but also cooperation,which is particularly common for transactional institutional investors,such as public securities investment funds.Information sharing can improve the pricing efficiency for the market,which could eliminate information asymmetry between managements and investors to a certain extent.So it could reduce the crash risk for individual stock.The social network between the investors is the main way to obtain private information for them.Investors usually actively acquire information through social relations when making decisions.Much survey and empirical research show that the institutional investors who hold the same shares massively would like share information.So we assume that there are private information exchanges between the funds holding the same shares in heavy positions.This paper measures the efficiency for information sharing by the structural characteristic variables of social network,such as degree centrality,density,and cluster.Based on the data of China A-share market and public securities investment funds from 2004 to 2017,it makes an empirical analysis on the relationship between information sharing and the crash risk for individual stock.The main conclusions are as follows:Firstly,there is a significant positive correlation between information sharing and pricing efficiency for the market,which implies information sharing between institutional investors maybe promote the pricing efficiency.Meanwhile there is a significant negative correlation between information sharing and crash risk,that is,information sharing may reduce the crash risk.Moreover,market pricing efficiency is an important intermediary variable between them.This may be because the information sharing improves the comprehensiveness,accuracy and instantaneity of information for the market.Secondly,with the extension of investment term,the role of information sharing in reducing the crash risk will be strengthened.This may be due to the fact that institutional investors with longer term are more dependent on private information,so information sharing has a greater impact on their behavior.Thirdly,information sharing improves the short-term volatility of stock prices and reduces the long-term volatility of stock prices.This may be because information sharing among institutional investors improves the consistency of their trading operations,which has a short-term impact on stock prices.However,in the long run,information sharing can improve the effectiveness of the market and inhibit the volatility of stock price.In this paper,the social network is introduced into the research on behavior of institutional investors,and the relationship between information sharing and the crash risk.It expands the research on the impact of institutional investors on the crash risk and the stability of stock market.From the perspective of social network,this paper explores the impact of private information and its dissemination on institutional investors decision-making and stock prices,which also provides a new perspective for the study of factors affecting the crash risk.In addition,based on the research methods and conclusions of this paper,it can help regulators identify institutional investors who have important impact on market stability and take targeted measures to stabilize the market.They can identify institutional investors who play an important role in information transmission and supervise them pertinently.Information sharing can improve market pricing efficiency,but the regulators should pay close attention to whether institutional investors who are more closely connected in the information network are suspected of collusion and manipulation.
引文
[1]Graham,J.R.,C.R.Harvey,and S.Rajgopal.The Economic Implications of Corporate Financial Reporting[J].Journal of Accounting and Economics,2004,40,(1):3-73.
[2]Kim,J.B.,Y.Li,and L.Zhang.Corporate Tax Avoidance and Stock Price Crash Risk:Firm-level Analysis[J].Social Science Electronic Publishing,2011,99,(3):639-662.
[3]Kim,J.-B.,Y.Li,and L.Zhang.CFOs versus CEOs:Equity Incentives and Crashes[J].Journal of Financial Economics,2011,101,(3):713-730.
[4]Xu,N.,X.Li,Q.Yuan,and K.C.Chan.Excess Perks and Stock Price Crash Risk:Evidence from China[J].Journal of Corporate Finance,2014,25,(2):419-434.
[5] Kothari,S.P.,S.Shu,and P.D.Wysocki.Do Managers Withhold Bad News?[J].Journal of Accounting Research,2009,47 (1):241-276.
[6]王化成,曹丰,高升好,李争光.投资者保护与股价崩盘风险[J].北京:财贸经济,2014,(10):73-82.
[7]罗进辉,杜兴强.媒体报道、制度环境与股价崩盘风险[J].北京:会计研究,2014,(9):53-59.
[8]Kim,J.,and L.Zhang.Accounting Conservatism and Stock Price Crash Risk:Firm-level Evidence[J].Contemporary Accounting Research,2016,33,(1):412-441.
[9]Callen,J.L.,and X.Fang.Institutional Investor Stability and Crash Risk:Monitoring Versus Short-termism?[J].Journal of Banking Finance,2013,37,(8):3047-3063.
[10]孔东民,王江元.机构投资者信息竞争与股价崩盘风险[J].天津:南开管理评论,2016,(5):127-138.
[11]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].北京:管理世界,2013,(7):31-43.
[12]Pound,J.The Information E?ects of Takeover Bids and Resistance[J].Journal of Financial Economics,1988,22,(2):207-227.
[13]Hong,H.,J.D.Kubik,and J.C.Stein.Thy Neighbor’s Portfolio:Word-of-mouth E?ects in the Holdings and Trades of Money Managers[J].Journal of Finance,2005,60,(6):2801-2824.
[14]Schiller,R.J.Irrational Exuberance[M].Princeton University Press,2009.
[15]Pareek,A.Information Networks:Implications for Mutual Fund Trading Behavior and Stock Returns[J].Ssrn Electronic Journal,2012,online.
[16]肖欣荣,刘健,赵海健.机构投资者行为的传染——基于投资者网络视角[J].北京:管理世界,2012,(12):35-45.
[17]刘京军,苏楚林.传染的资金:基于网络结构的基金资金流量及业绩影响研究[J].北京:管理世界,2016,(1):54-65.
[18]陈新春,刘阳,罗荣华.机构投资者信息共享会引来黑天鹅吗?——基金信息网络与极端市场风险[J].北京:金融研究,2017,(7):140-155.
[19]Han,B.,and L.Yang.Social Networks,Information Acquisition,and Asset Prices [J].Social Science Electronic Publishing,2016,59,(6):1444-1457.
[20]Shleifer,A.,and R.W.Vishny.Greenmail,White Knights,and Shareholders Interest[J].Rand Journal of Economics,1986,17,(3):293-309.
[21]Hartzell,J.C.,and L.T.Starks.Institutional Investors and Executive Compensation[J].Journal of Finance,2003,58,(6):2351-2374.
[22]Ajinkya,B.,S.Bhojraj,P.Sengupta.The Association between Outside Directors,Institutional Investors and the Properties of Management Earnings Forecasts[J].Journal of Accounting Research,2005,43,(3):343-376.
[23]An,H.,and T.Zhang.Stock Price Synchronicity,Crash Risk,and Institutional Investors[J].Journal of Corporate Finance,2013,21,(1):1-15.
[24]李双海,李海英.机构持股、中小投资者保护与会计盈余质量[J].太原:山西财经大学学报,2009,(12):107-114.
[25]Bushee,B.J.,and T.H.Goodman.Which Institutional Investors Trade based on Private Information about Earnings and Returns?[J].Journal of Accounting Research,2007,45,(2):289-321.
[26]Cohen,L.,A.Frazzini,and C.Malloy.The Small World of Investing:Board Connections and Mutual Fund Returns[J].Journal of Political Economy,2008,116,(5):951-979.
[27]Shiller,R.J.,and J.Pound.Survey Evidence on Di?usion of Interest among Institutional Investors[R].NBER Working Paper,1986.
[28]Colla,P.,and A.Mele.Information Linkages and Correlated Trading[J].Review of Financial Studies,2010,23,(1):203-246.
[29]Stein.C.Conversations among Competitors[J].American Economic Review,2008,98,(5):2150-2162.
[30]Crawford,S.,W.R.Gray.,A.E.Kern.Why Do Fund Managers Identify and Share Profitable Ideas?[J].Journal of Financial and Quantitative Analysis,2017,52,(5):1903-1926.
[31]Gray,W.R.,S.Crawford,and Kern.Do Fund Managers Identify and Share Profitable Ideas?[R].Working Paper,2012.
[32]Gray,W.R.Facebook for Finance:Why do Investors Share Ideas via Their Social Networks?[M].Social Science Electronic Publishing,2008.
[33]Butler,A.W.,U.G.Gurun.Educational Networks,Mutual Fund Voting Patterns,and CEO Compensation[J].Review of Financial Studies,2012,25,(8):2533-2562.
[34]Pool,V.K.,N.Stoffman and S.E.Yonker.No Place Like Home:Familiarity in Mutual Fund Manager Portfolio Choice[J].Review of Financial Studies,2012,25,(8):2563-2599.
[35]Kolaczyk,E.D.,and G.Csárdi.Statistical Analysis of Network Data with R[M].Springer New York,2014.
[36]Nagel,S.Short Sales,Institutional Investors and the Cross-section of Stock Returns[J].Journal of Financial Economics,2005,78,(2):277-309.
[37]Hou,K,T.J.Moskowitz.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].Review of Financial Studies,2005,18,(3):981-1020.
[38]Dimson,E.,and P.R.Marsh.Modern Risk Measurement[J].Managerial Finance,1979,5,(1):80-86.
[39]Bikhchandani,S,D.Hirshleifer,Welch I.A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades[J].Journal of Political Economy,1992,100,(5):992-1026.
[40]Wermers,R.Mutual Fund Performance:An Empirical Decomposition into Stock Picking Talent,Style,Transactions Costs,and Expenses[J].Journal of Finance,2000,55,(4):1655-1695.
[41]温忠麟,张雷,侯杰泰等.中介效应检验程序及其应用[J].北京:心理学报,2004,(5):614-620.
[42]Froot,K.A.,D.S.Scharfstein,and J.C.Stein.Herd on the Street:Informational Inefficiencies in a Market with Short-term Speculation[J].Journal of Finance,1992,47,(4):1461-1484.
[43]Cremers,M.,A.Pareek,and Z.Sautner.Short-term Investors,Long-term Investments,and Firm Value[M].Social Science Electronic Publishing,2016.
[44]Xu,Y.,and Malkiel,B.G.Investigating the Behavior of Idiosyncratic Volatility[J].Journal of Business,2003,76,(4):613-645.
(1)从现有文献来看,机构投资者信息网络的形成主要是基于社交关系(Butler和Gurun,2012)[33]、地理位置(Pool等,2012)[34]以及资产配置(Pareek,2012)[15],本文所构建的信息网络即为第三种类型。
(2)根据经验,投资组合中股票的数量超过20只时基本可以消除非系统性风险。因此,5%的比例表明了机构投资者对于持股具有较强的确定性。
(3)这些变量是社会关系网络研究通常使用的标准指标。
(4)网络中一个节点的度指的是与该节点直接连接节点的数量;社会关系网络的中心性是指网络中节点在信息传播中重要性的差异化程度。
[2]Kim,J.B.,Y.Li,and L.Zhang.Corporate Tax Avoidance and Stock Price Crash Risk:Firm-level Analysis[J].Social Science Electronic Publishing,2011,99,(3):639-662.
[3]Kim,J.-B.,Y.Li,and L.Zhang.CFOs versus CEOs:Equity Incentives and Crashes[J].Journal of Financial Economics,2011,101,(3):713-730.
[4]Xu,N.,X.Li,Q.Yuan,and K.C.Chan.Excess Perks and Stock Price Crash Risk:Evidence from China[J].Journal of Corporate Finance,2014,25,(2):419-434.
[5] Kothari,S.P.,S.Shu,and P.D.Wysocki.Do Managers Withhold Bad News?[J].Journal of Accounting Research,2009,47 (1):241-276.
[6]王化成,曹丰,高升好,李争光.投资者保护与股价崩盘风险[J].北京:财贸经济,2014,(10):73-82.
[7]罗进辉,杜兴强.媒体报道、制度环境与股价崩盘风险[J].北京:会计研究,2014,(9):53-59.
[8]Kim,J.,and L.Zhang.Accounting Conservatism and Stock Price Crash Risk:Firm-level Evidence[J].Contemporary Accounting Research,2016,33,(1):412-441.
[9]Callen,J.L.,and X.Fang.Institutional Investor Stability and Crash Risk:Monitoring Versus Short-termism?[J].Journal of Banking Finance,2013,37,(8):3047-3063.
[10]孔东民,王江元.机构投资者信息竞争与股价崩盘风险[J].天津:南开管理评论,2016,(5):127-138.
[11]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].北京:管理世界,2013,(7):31-43.
[12]Pound,J.The Information E?ects of Takeover Bids and Resistance[J].Journal of Financial Economics,1988,22,(2):207-227.
[13]Hong,H.,J.D.Kubik,and J.C.Stein.Thy Neighbor’s Portfolio:Word-of-mouth E?ects in the Holdings and Trades of Money Managers[J].Journal of Finance,2005,60,(6):2801-2824.
[14]Schiller,R.J.Irrational Exuberance[M].Princeton University Press,2009.
[15]Pareek,A.Information Networks:Implications for Mutual Fund Trading Behavior and Stock Returns[J].Ssrn Electronic Journal,2012,online.
[16]肖欣荣,刘健,赵海健.机构投资者行为的传染——基于投资者网络视角[J].北京:管理世界,2012,(12):35-45.
[17]刘京军,苏楚林.传染的资金:基于网络结构的基金资金流量及业绩影响研究[J].北京:管理世界,2016,(1):54-65.
[18]陈新春,刘阳,罗荣华.机构投资者信息共享会引来黑天鹅吗?——基金信息网络与极端市场风险[J].北京:金融研究,2017,(7):140-155.
[19]Han,B.,and L.Yang.Social Networks,Information Acquisition,and Asset Prices [J].Social Science Electronic Publishing,2016,59,(6):1444-1457.
[20]Shleifer,A.,and R.W.Vishny.Greenmail,White Knights,and Shareholders Interest[J].Rand Journal of Economics,1986,17,(3):293-309.
[21]Hartzell,J.C.,and L.T.Starks.Institutional Investors and Executive Compensation[J].Journal of Finance,2003,58,(6):2351-2374.
[22]Ajinkya,B.,S.Bhojraj,P.Sengupta.The Association between Outside Directors,Institutional Investors and the Properties of Management Earnings Forecasts[J].Journal of Accounting Research,2005,43,(3):343-376.
[23]An,H.,and T.Zhang.Stock Price Synchronicity,Crash Risk,and Institutional Investors[J].Journal of Corporate Finance,2013,21,(1):1-15.
[24]李双海,李海英.机构持股、中小投资者保护与会计盈余质量[J].太原:山西财经大学学报,2009,(12):107-114.
[25]Bushee,B.J.,and T.H.Goodman.Which Institutional Investors Trade based on Private Information about Earnings and Returns?[J].Journal of Accounting Research,2007,45,(2):289-321.
[26]Cohen,L.,A.Frazzini,and C.Malloy.The Small World of Investing:Board Connections and Mutual Fund Returns[J].Journal of Political Economy,2008,116,(5):951-979.
[27]Shiller,R.J.,and J.Pound.Survey Evidence on Di?usion of Interest among Institutional Investors[R].NBER Working Paper,1986.
[28]Colla,P.,and A.Mele.Information Linkages and Correlated Trading[J].Review of Financial Studies,2010,23,(1):203-246.
[29]Stein.C.Conversations among Competitors[J].American Economic Review,2008,98,(5):2150-2162.
[30]Crawford,S.,W.R.Gray.,A.E.Kern.Why Do Fund Managers Identify and Share Profitable Ideas?[J].Journal of Financial and Quantitative Analysis,2017,52,(5):1903-1926.
[31]Gray,W.R.,S.Crawford,and Kern.Do Fund Managers Identify and Share Profitable Ideas?[R].Working Paper,2012.
[32]Gray,W.R.Facebook for Finance:Why do Investors Share Ideas via Their Social Networks?[M].Social Science Electronic Publishing,2008.
[33]Butler,A.W.,U.G.Gurun.Educational Networks,Mutual Fund Voting Patterns,and CEO Compensation[J].Review of Financial Studies,2012,25,(8):2533-2562.
[34]Pool,V.K.,N.Stoffman and S.E.Yonker.No Place Like Home:Familiarity in Mutual Fund Manager Portfolio Choice[J].Review of Financial Studies,2012,25,(8):2563-2599.
[35]Kolaczyk,E.D.,and G.Csárdi.Statistical Analysis of Network Data with R[M].Springer New York,2014.
[36]Nagel,S.Short Sales,Institutional Investors and the Cross-section of Stock Returns[J].Journal of Financial Economics,2005,78,(2):277-309.
[37]Hou,K,T.J.Moskowitz.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].Review of Financial Studies,2005,18,(3):981-1020.
[38]Dimson,E.,and P.R.Marsh.Modern Risk Measurement[J].Managerial Finance,1979,5,(1):80-86.
[39]Bikhchandani,S,D.Hirshleifer,Welch I.A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades[J].Journal of Political Economy,1992,100,(5):992-1026.
[40]Wermers,R.Mutual Fund Performance:An Empirical Decomposition into Stock Picking Talent,Style,Transactions Costs,and Expenses[J].Journal of Finance,2000,55,(4):1655-1695.
[41]温忠麟,张雷,侯杰泰等.中介效应检验程序及其应用[J].北京:心理学报,2004,(5):614-620.
[42]Froot,K.A.,D.S.Scharfstein,and J.C.Stein.Herd on the Street:Informational Inefficiencies in a Market with Short-term Speculation[J].Journal of Finance,1992,47,(4):1461-1484.
[43]Cremers,M.,A.Pareek,and Z.Sautner.Short-term Investors,Long-term Investments,and Firm Value[M].Social Science Electronic Publishing,2016.
[44]Xu,Y.,and Malkiel,B.G.Investigating the Behavior of Idiosyncratic Volatility[J].Journal of Business,2003,76,(4):613-645.
(1)从现有文献来看,机构投资者信息网络的形成主要是基于社交关系(Butler和Gurun,2012)[33]、地理位置(Pool等,2012)[34]以及资产配置(Pareek,2012)[15],本文所构建的信息网络即为第三种类型。
(2)根据经验,投资组合中股票的数量超过20只时基本可以消除非系统性风险。因此,5%的比例表明了机构投资者对于持股具有较强的确定性。
(3)这些变量是社会关系网络研究通常使用的标准指标。
(4)网络中一个节点的度指的是与该节点直接连接节点的数量;社会关系网络的中心性是指网络中节点在信息传播中重要性的差异化程度。
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