作　　者： ; ;

机构地区： 北京大学光华管理学院

出　　处： 《中国会计评论》 2008年第3期289-308,共20页

摘　　要： 我们验证了在中国资本市场上存在交易量异象,以过去3个月的换手率为基础进行套利,在未来3个月投资者能获取显著的超额回报。使用中期和年度机构持股数据,我们发现机构投资者能识别和利用交易量异象。基于交易量和机构投资者持股比例的信息,我们发现投资者如果买进过去3个月平均交易量最低与机构投资者持股比例最高的一组,同时卖空交易量最高与机构投资者持股比例最低的一组进行交叉套利,他们能在未来3个月获得10.3%的超额回报。 The institutional investors＇ function in asset pricing and corporate governance has been recognized by academics, and we can find many papers about this topic in accounting and financial journals. Comparing with individual investors, institutional investors have many advantages, such as acquiring information, transaction cost and trading size. Sias and Stark. （1997） find the stock return autocorrelation is pertinent to the stock shares held by institutional investors, and institutional investors can rapidly react to newly arriving information, which show that institutional investors are more rational than individual investors in the capital market. Using the NYSE/AMEX data during 1986-1999, Ke et al. （2005） find institutional investors can recognize and utilize the post-earnings announcement drift anomaly. However, as an emerging market, the history of institutional investors is still very short in China. Therefore, it is very important and interesting to whether Chinese institutional investors do a better job in picking stocks. This paper studies the function of institutional investor in asset pricing. Specifically, we study whether institutional investors can recognize and use the trading volume anomaly to gain abnormal returns. Many academic studies find that the trading volume anomaly exists stably on the capital market. For instance, Lee and Swaminathan （2000） find the performance in low trading volume group is better than that in high trading volume after controlling the momentum. Hong and Stein （2007） argue that trading volume on the market is due to the disagreement among different investors, and the high trading volume goes with the high stock price, therefore they consider that trading volume has a negative correlation to subsequent stock returns. Using data during the 1999.01-2007.12 period, the result of this paper accords with our expectations. Firstly, we find that the trading volume anomaly exists on Chinese stock market, which is same to the results of Zhang et al. （2006）.

关 键 词： 机构投资者 交易量异象 套利 超额回报

领　　域： [经济管理] [经济管理]