暨南学报(哲学社会科学版)

作者：方毅, 牛慧

单位：吉林大学数量经济研究中心、吉林大学商学院;牛慧,吉林大学商学院。

关键词：机构投资者,资产误定价,融资融券,骑乘泡沫

基金：国家自然科学基金面上项目“基于随机占优的高阶偏好投资组合构建”(71871104)。

为了探清机构投资者在资产误定价中发挥的作用,本文选取机构持股比例与持股机构数量两个变量来衡量机构持仓变化,并将全部数据划分为全样本、融资融券前与融资融券后三个区间,通过构建面板回归模型,深入讨论了不同区间内机构投资者对资产误定价的影响以及机构投资者的交易策略。实证研究表明,不同时期,机构投资者在资产误定价中扮演着不同的角色。融资融券前,其他投资者的跟风行为在一定程度上导致了股票的错误定价,机构投资者由于缺乏卖空工具不能有效地纠正错误定价。融资融券后,少数投机型的机构投资者没有选择消除价格偏差而是存在骑乘泡沫的行为,这种骑乘泡沫的行为进一步推助了泡沫的产生与膨胀,加剧了资产误定价水平。基于此,本文提出了改善职业经理人市场环境、完善金融市场监管制度,正确引导机构投资者参与市场等参考建议。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家自然科学基金面上项目“基于随机占优的高阶偏好投资组合构建”(71871104)。"],"article":{"keywordList_cn":["机构投资者","骑乘泡沫","融资融券","资产误定价"],"juan":"43","zhaiyao_cn":"为了探清机构投资者在资产误定价中发挥的作用,本文选取机构持股比例与持股机构数量两个变量来衡量机构持仓变化,并将全部数据划分为全样本、融资融券前与融资融券后三个区间,通过构建面板回归模型,深入讨论了不同区间内机构投资者对资产误定价的影响以及机构投资者的交易策略。实证研究表明,不同时期,机构投资者在资产误定价中扮演着不同的角色。融资融券前,其他投资者的跟风行为在一定程度上导致了股票的错误定价,机构投资者由于缺乏卖空工具不能有效地纠正错误定价。融资融券后,少数投机型的机构投资者没有选择消除价格偏差而是存在骑乘泡沫的行为,这种骑乘泡沫的行为进一步推助了泡沫的产生与膨胀,加剧了资产误定价水平。基于此,本文提出了改善职业经理人市场环境、完善金融市场监管制度,正确引导机构投资者参与市场等参考建议。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6478","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6478","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2021/V43/I6/107","qi":"6","id":6478,"nian":2021,"bianHao":"2021-6-107","zuoZheEn_L":"FANG Yi, NIU Hui","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2021","shouCiFaBuRiQi":"2021-06-16","qiShiYe":"107","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2021/V43/I6","lanMu_cn":"经济·管理","pdfSize":"1058","zuoZhe_CN":"方毅, 牛慧","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6478","title_cn":"机构投资者对资产误定价的影响:抑制还是推助？","jieShuYe":"120","keywordList_en":["asset mispricing","bubble riding","institutional investors","securities margin trading"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6478","zhaiyao_en":"In order to explore the role of institutional investors in asset mispricing, this paper selects two variables of institutional shareholding ratio and number of shareholding institutions to measure the change of institutional position, and divides all the data into three sections: full sample, before the margin trading and after the margin trading. 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来源：2021年第6期

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