本文關(guān)鍵詞：超短期內(nèi)機(jī)構(gòu)投資者的交易策略及收益預(yù)測性研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：近年來,隨著我國機(jī)構(gòu)投資者隊(duì)伍的不斷壯大,機(jī)構(gòu)投資者的交易行為與股票收益之間的關(guān)系成為學(xué)術(shù)界研究的熱點(diǎn)。然而,已有的實(shí)證文獻(xiàn)大多沒有對(duì)交易行為進(jìn)行直接研究,而主要基于持股比例變動(dòng)這種間接的方法來衡量機(jī)構(gòu)投資者的交易行為。本文的實(shí)證研究部分以2011-2012兩年的大筆交易數(shù)據(jù)和日個(gè)股交易數(shù)據(jù)為樣本,采用Kaniel,Saar,Titman(2008)的方法,在國內(nèi)首次建立了能夠直接衡量機(jī)構(gòu)投資者交易行為的指標(biāo)——機(jī)構(gòu)凈交易指標(biāo)NIT (Net Institute Trading),通過該指標(biāo)構(gòu)建機(jī)構(gòu)投資者“劇烈凈交易”集合,進(jìn)而探討了超短期內(nèi)機(jī)構(gòu)投資者的交易行為與歷史收益和未來收益之間的關(guān)系。此外,本文還利用市場參與者博弈模型的相關(guān)結(jié)果為實(shí)證研究提供了理論支持。 本文的第一個(gè)研究結(jié)論是超短期內(nèi)機(jī)構(gòu)投資者采取慣性策略進(jìn)行交易。第二個(gè)研究結(jié)論是超短期內(nèi)機(jī)構(gòu)投資者的交易行為具備正向收益預(yù)測性,且這種預(yù)測能力可以獨(dú)立于股價(jià)的慣性或反轉(zhuǎn)效應(yīng)以及成交量等因素存在。在對(duì)交易策略進(jìn)行實(shí)證研究的部分,本文的方法是求出“劇烈凈交易”集合的歷史收益,之后通過均值檢驗(yàn)獲得機(jī)構(gòu)投資者的交易策略。在對(duì)收益預(yù)測性進(jìn)行實(shí)證研究的部分,文章通過單因素、雙因素和多因素三步分析得到結(jié)論。 本文揭示了這樣一個(gè)現(xiàn)象：當(dāng)股票價(jià)格不斷下跌并且機(jī)構(gòu)投資者劇烈賣出時(shí),該股票在后期將繼續(xù)呈現(xiàn)超額負(fù)收益；反之,當(dāng)股票價(jià)格處于上漲狀態(tài)并且機(jī)構(gòu)投資者劇烈買入時(shí),該股票在后期將繼續(xù)呈現(xiàn)超額正收益。對(duì)于市場中信息解讀能力較差的個(gè)人投資者而言,他們可以通過觀察股價(jià)走勢(shì)和機(jī)構(gòu)投資者的交易行為,輔助自己的投資決策并獲得收益。
[Abstract]:In recent years, along with the institutional investors in China continues to grow, the relationship between stock returns and trading behavior of institutional investors has become the focus of academic research. However, most of the existing empirical literature did not study directly on the trading behavior, which is mainly based on the trading behavior of the proportion of shareholding changes this indirect method to measure the institutional investors. In the empirical part of this paper to large amounts of transaction data and 2011-2012 for two years on stock trading data as samples, using Kaniel, Saar, Titman (2008) method is established for the first time in China -- net trading index NIT index can directly measure of trading behavior of institutional investors (Net Institute Trading), through the construction of index mechanism investors "severe net transaction" collection, and then discusses between the trading behavior and historical return of the ultra short term institutional investors and not to return In addition, this paper also provides theoretical support for empirical research by using the related results of the game model of market participants.
The conclusion of this paper is the first ultra short term institutional investors take momentum trading strategy. Second conclusions are trading behavior of ultra short term institutional investors have positive earnings forecast, and this capacity can be independent of price and volume inertia or reversal effect and other factors. In the empirical research on trading strategies in part, the method of this paper is to find out "severe net transaction" collection of the historical return, after obtaining institutional investors trading strategies through the mean test. In the empirical study of earnings forecast part, through single factor, double factors and multi factor three step analysis conclusions.
This paper reveals such a phenomenon: when the stock price falling and institutional investors to sell the stock sharply, will continue to show negative excess returns in the late stage; conversely, when the stock price rising status and institutional investors sharply when buying, the stock will continue to show the excess positive return at a later stage. For the market information interpretation ability for individual investors, they can observe the trading behavior through stock price movements and institutional investors, aided their investment decisions and get benefits.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1421109