Journal of Financial and Quantitative Analysis · Volume 52, Issue 2 April 2017, pp. 465-489

机构投资约束与股票价格

作者：Jie Cao (Chinese University of Hong Kong), Bing Han (University of Toronto), Qinghai Wang (University of Central Florida)

摘要：我们考察了这样一个假说，即投资组合管理中的投资约束可能扭曲股票需求，导致价格对新闻和股票回报的预测性反应不足。我们发现，机构在面临已经高估的利好时往往不会购买更多的股票；在面临已经低估的利空时，不愿卖出股票。机构高估利好的股票随后显著优于那些低估利空的股票。机构投资约束为资产定价异象的研究提供了新的思路，如股价动量和盈余公告后的漂移现象。

Institutional Investment Constraints and Stock Prices

Jie Cao (Chinese University of Hong Kong), Bing Han (University of Toronto), Qinghai Wang (University of Central Florida)

ABSTRACT

We test the hypothesis that investment constraints in delegated portfolio management may distort demand for stocks, leading to price underreaction to news and stock return predictability. We find that institutions tend not to buy more of a stock with good news that they already overweight; they are reluctant to sell a stock with bad news that they already underweight. Stocks with good news overweighted by institutions subsequently significantly outperform stocks with bad news underweighted by institutions. The impact of institutional investment constraints sheds new light on asset pricing anomalies such as stock price momentum and post–earnings announcement drift.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/institutional-investment-constraints-and-stock-prices/A4D2ECA903980CB2306DF7F593B2B430

翻译：熊进宗