中国股票市场机构投资者信息优势的实证分析

发布时间：2018-01-10 19:16

本文关键词：中国股票市场机构投资者信息优势的实证分析　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：通过考察某一季度内机构持仓和加仓情况与未来几个季度内机构所持股票的收益率之间的关系,本文将探讨中国股票市场中哪类机构投资者更可能具有信息优势。笔者发现,社保基金表现出对未来股票收益率的良好预测性,具体表现为其当季加仓对未来第1,2季度的股票收益率有预见性。这表明社保基金有一定的信息优势。深入探究之后发现,公司基本面指标如净资产收益率、每股收益、账面市值比、流通市值分别在不同程度上解释了社保基金比其他某些机构更具有信息优势的原因,即社保基金对所持股票的基本面情况更为了解。
[Abstract]:By examining the relationship between institutional positions and positions in a given quarter and the yields on stocks held by institutions in the next few quarters. This paper will explore which institutional investors are more likely to have information advantages in China's stock market. This indicates that the social security fund has a certain information advantage. After further exploration, it is found that the company's fundamental indicators such as return on net assets. Earnings per share, book to market value and current market value explain to varying degrees why the fund has more information advantages than some other institutions, that is, the fund has a better understanding of the fundamentals of its stock holdings.
【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】：F224;F832.51

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