中国社保基金、保险资金、券商自营的信息优势与投资偏好的实证研究

发布时间：2018-01-19 22:15

本文关键词： 社保基金保险资金券商自营信息优势投资偏好比较　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：机构投资者的发展是全球金融体系近30年来最重要的变化之一,西方各国证券市场已经出现了证券投资机构化的趋势。而中国作为新兴市场的代表国家,机构投资者也得到了迅速发展,目前机构投资者的持股市值总额已经达到市场市值的60%以上。随着机构投资者的发展壮大,针对机构投资者的研究也越来越多样化。国外早期的研究主要关注最大的一类机构投资者——基金,随着其他类型机构投资者的进一步发展,越来越多的研究开始关注机构投资者投资行为的动态变化以及不同类别机构的异质性,着眼于解释不同机构投资者在投资中的差异。而我国对机构投资者的研究主要还是集中于基金,近年来也有针对QFII的实证研究,对其余机构投资者的研究主要集中在制度建设层面。在我国证券市场上主要包括基金、QFII、保险公司、财务公司、非金融类上市公司、企业年金、券商、券商集合理财、社保基金、信托公司、阳光私募、般法人,以及银行。各类机构投资者性质不同,投资目标不同,投资约束不同,最终导致投资行为也不同。本文选取了社保基金、保险公司、证券公司三类机构投资者,以他们的投资活动为研究对象,比较三类投资者在投资约束、信息优势、投资偏好三方面的不同,从整体上刻画了三类机构投资者在投资行为中的不同。经过实证分析,本文发现,社保基金在投资中具备短期的信息优势,但是这种优势在长期内消失了,而保险资金在投资中显示出具备一定程度的长期信息优势,券商自营则在市场上涨时显示出短期信息优势。在比较了信息优势后,本文对比了三类投资者的投资偏好,以观察他们的投资偏好是否和投资目标相一致。本文发现社保基金和保险资金相对于券商自营,在构建投资组合时,都偏好大规模、低账面市值比、低β值的公司,但两类投资者也都显示出了调整投资偏好的特征,更多地增持小规模、高账面市值比、高p值的公司；社保基金的投资集中度更高,而保险资金的投资稳定性更高；但是在对不同投资者的选股偏好进行比较时,本文发现社保基金和券商自营对市场层面指标的关注度更高,而保险资金对基本面指标关注度更高。因此本文得出结论,保险资金在投资时最为保守稳健,体现了其投资行为与投资目标、投资约束的一致；而券商自营则更多显示了短视型投资者的特性；社保基金居于二者之间,在今后的投资行为中应当进一步贯彻价值投资、长期投资、责任投资的理念。
[Abstract]:The development of institutional investors is one of the most important changes in the global financial system in the past 30 years. The securities markets of western countries have already appeared the trend of institutionalization of securities investment. China is the representative country of emerging markets. Institutional investors have also been rapid development, the current total amount of institutional investors holding market value has reached the market market value more than 60%. With the development of institutional investors. The research on institutional investors is becoming more and more diversified. The early studies abroad mainly focus on the largest category of institutional investors-funds, with the further development of other types of institutional investors. More and more studies begin to pay attention to the dynamic changes of institutional investors' investment behavior and the heterogeneity of different types of institutions. In order to explain the differences between different institutional investors in investment, the research on institutional investors in China is mainly focused on funds. In recent years, there have been empirical studies on QFII. The research on the other institutional investors is mainly focused on the level of institutional construction. In China's securities market, including fund QFIIs, insurance companies, financial companies, non-financial listed companies, enterprise annuity, securities firms, securities collective financing, social security funds, trust companies, sunshine private placement. Different types of institutional investors, different investment objectives, different investment constraints, ultimately lead to different investment behavior. This paper selects social security funds, insurance companies. Three types of institutional investors of securities companies, with their investment activities as the research object, compare the three types of investors in the three aspects of investment constraints, information advantages, investment preferences. On the whole, it depicts the difference of three types of institutional investors in their investment behavior. Through empirical analysis, this paper finds that social security funds have short-term information advantage in investment, but this advantage has disappeared in the long run. The insurance fund shows a certain degree of long-term information advantage in investment, while the securities company self-management shows short-term information advantage when the market is rising. After comparing the advantages of information, this paper compares the investment preferences of three types of investors to see if their investment preferences are consistent with their investment objectives. In the construction of portfolio, they prefer large scale, low paper market value ratio, low 尾 value companies, but the two types of investors also showed the characteristics of adjusting investment preference, more small holdings, high book market value ratio. A company with a high p value; The investment concentration of social security fund is higher, and the investment stability of insurance fund is higher; However, when comparing the stock selection preferences of different investors, we find that social security funds and brokerage companies pay more attention to the market level indicators, while insurance funds pay more attention to the fundamental indicators. Therefore, this paper draws the conclusion that the insurance fund is the most conservative in investment, which reflects the consistency of its investment behavior, investment objectives and investment constraints. And brokerage proprietary is more shows the characteristics of short-sighted investors; The social security fund is in the middle of the two. In the future investment behavior, the concept of value investment, long-term investment and responsible investment should be carried out further.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F842;F832.51;F224

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