个体沟通与市场信息传递——来自机构投资者访问上市公司的证据 阅读全文
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Title | Communication and the Diffusion of Market Information
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作者 | 孔东民 陈小林 刘莎莎 |
Author | Kong Dongmin,Chen Xiaolin and Liu Shasha |
作者单位 | 华中科技大学经济学院;九江学院会计学院;北京大学光华管理学院 |
Organization | Huazhong University of Science and Technology; Jiujiang University;Peking University |
作者Email | kongdm@hust.edu.cn;chen072002@163.com;sarahliu@pku.edu.cn |
中文关键词 | 交流 共同基金 信息优势 业绩 |
Key Words | Communication; Mutual Funds; Information Advantages; Performance |
内容提要 | 基于一个来自深交所的独特数据,我们研究了机构投资者为何访问上市公司,以及机构投资者是否通过与上市公司的沟通获得了信息优势并从中受益。本文为社会网络与微观信息传递研究提供了新的证据,研究发现:(1)机构投资者更倾向访问其持股公司,以及资产规模大、账面市值比高、业绩良好、投资者较关注或盈余质量好的公司。同时,资产规模较大的基金更倾向访问上市公司。(2)基金与上市公司的访问交流,显著影响了机构投资者行为,并使其对上市公司盈余信息和经营业绩有显著预测能力。(3)对于投资者关注低的公司,基金可以获得更为显著的信息优势。整体上,我们的研究表明,机构投资者可以通过访问上市公司获得信息优势,并做出好的投资决策,这为监管部门在未来的监管力度和方向上提供了清晰的政策借鉴。 |
Abstract | Using a unique dataset on communication between mutual funds and listed firms in China’s stock market, we investigate whether active institutional investors can obtain private information or benefit from their communication with such listed firms. We provide new evidences to social network and the theory of diffusion of market information. We find that: mutual fund managers prefer to visit firms in their holding and with large capitalization, high book-to-market value, good performance, high investor attention, high earning quality, and proximity of location; large and active fund families are more likely to visit listed firms; communication affects subsequent trades of mutual funds; trades of mutual funds which rely on communications significantly predict unexpected earnings and firm performances. Furthermore, our findings are more significant on firms with a low investor attention. Collectively, our results indicate that institutional investors can gain information advantage and make profitable decisions by communicating with firms, which offer clear and significant policy implications. |
文章编号 | WP557 |
登载时间 | 2013-11-20 |
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