Critical Finance Review, 2017, Vol 6-1

机构股票投资的变化特性

作者：Marshall E. Blume (University of Pennsylvania), Donald B. Keim (University of Pennsylvania)

摘要：我们发现机构投资者，特别是对冲基金，从1980年到2010年减少了对较大市值股票的持有，增加了对较小市值股票的持有。自1990年以来，机构相对于市场权重降低了占市场价值最大40％的股票的权重，自2006年以来增加了占市场价值最小20％的股票的权重。文献中相反的结论，即机构重仓较大市值的股票且轻仓较小市值的股票（例如，Gompers and Metrick (2001) and Bennett et al. (2003)）是由于使用了机构股权与市场价值的对数之间的线性关系。事实上，我们表明这种关系是非线性的，类似于倒U型。我们讨论了可能造成机构持股变化的三个因素：对分散化更好的了解；对小市值股票溢价日益增长的认识；较小市值的股票相对于较大市值的股票的定价效率更低。

关键词：机构投资者，机构股权，美国证券交易委员会13F文件，对冲基金，有效定价

The Changing Nature of Institutional Stock Investing

Marshall E. Blume (University of Pennsylvania), Donald B. Keim (University of Pennsylvania)

ABSTRACT

We document that institutional investors, particularly hedge funds, decreased their holdings of larger stocks from 1980 to 2010 and increased their holdings of smaller stocks. Since 1990 institutions have underweighted, relative to market weights, those stocks that make up the largest 40 percent of the value of the market, and since 2006 have overweighted the stocks that make up the smallest 20 percent of the market. The contrary findings in the literature that institutions overweight larger stocks and underweight smaller stocks (e.g., Gompers and Metrick (2001) and Bennett et al. (2003)) are due to the use of a linear relation between institutional ownership and the logarithm of market value. In fact, we show that this relation is nonlinear and resembles an inverted U. We discuss three factors that may have contributed to these changes in institutional holdings: better understanding of diversification; growing awareness of the small stock premium; and less efficient pricing of smaller stocks relative to larger stocks.

Keywords: Institutional investors; institutional stock ownership; SEC 13F filings; hedge funds; efficient pricing

原文链接：http://cfr.ivo-welch.info/readers/2017/blume-keim.pdf

翻译：任兆月