持股限制对机构投资者投资行为的影响研究

发布时间：2018-01-07 04:32

本文关键词：持股限制对机构投资者投资行为的影响研究　出处：《郑州大学》2012年硕士论文　论文类型：学位论文

【摘要】：持股限制是指机构投资者持有的一家上市公司的股票在其所有持股中所占的比例。由于机构投资者在持股方面会受到各种限制,可是它的委托代理关系又决定了他们要以收益最大化为最终目标。因此本文主要研究,机构投资者在受到持股限制时,为了实现收益最大化而实施的投资决策行为,即会通过动量和反转投资策略来实现收益最大化。持股比例限制要求机构投资者根据持股比例调整自身的投资行为,以实现收益的最大化。在看好持股公司的前提下,在持股比例低时,机构投资者实施动量行为不断加仓,直至受到持股制度的约束。随着机构投资者不断买进,股价呈现正反馈交易效应,吸引个人投资者实施动量行为追涨,股价进一步上扬。在机构投资者处于持股上限时,机构投资者难以再动量加仓,基于机构投资者动量行为的个人投资者动量行为所带来的股价动量无法维继,即买盘较弱,股价可能回调,注重技术分析的投资者(不论是机构投资者、还是个人投资者)可能选择落袋为安,引发股价进一步下跌。作为专业资产管理机构,机构投资者很清楚这一点,合理的选择是到了持股上限时,机构投资者实施反转行为,卖出股票,打压股价,引发追涨个人投资者的认知心理、情绪和投资行为偏差,进而不得不割肉离场。而这为机构投资者低位接回创造了条件,这时已经不再受制于持股比例约束的机构投资者进行动量交易,增持股票。如此循环,反复进行波段操作。
[Abstract]:Shareholding limit refers to a listed company held by institutional investors in the stock account for all of its holdings in proportion. Due to institutional investors will be subject to various restrictions in terms of ownership, but its agency relationship and decided they want to maximize the return as the ultimate goal. This paper mainly studies the institutional investors in the subject ownership restrictions, in order to maximize investment decision-making behavior and the implementation of the momentum and contrarian strategies to maximize revenue.
The restrictions on ownership requirements of institutional investors to adjust their investment behavior according to the proportion of shares, in order to achieve maximum revenue. Optimistic about the premise of the Holding Company in the shareholding ratio is low, institutional investors implement momentum behavior of continuous opening, until by the shareholding system constraints. As institutional investors continue to buy shares, positive feedback trading effect. To attract individual investors to implement momentum behavior chase the stock price to rise further.
Limit on institutional investors in the shareholding of institutional investors is difficult to momentum, opening price momentum brought by individual investors behavior momentum momentum behavior of institutional investors based on unsustainable, i.e. buying less, the stock may callback, focus on technical analysis of investors (whether institutional investors or individual investors) may be secured, cause stock prices fell further. As a professional asset management institutions, institutional investors are aware of this, a reasonable choice is to limit holdings, institutional investors act of reversal, sell the stock price pressure, lead to cognitive psychology chasing individual investors, emotional and behavioral biases in investment, and then had to leave the flesh. And this is the institutional investors low back to create the conditions, when no longer subject to the constraints of the stake of institutional investors into trading, Holdings Stock. So circular, repeated band operation.

【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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