基于投资行为特征提取与股价高估的机构投资者异质性研究

2019 International Conference on Economic Management and Model Engineering (ICEMME) Pub Date : 2019-12-01 DOI:10.1109/ICEMME49371.2019.00008

Bing-Yue Liu, Chengli Zheng

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引用次数: 0

摘要

本文以2009 - 2017年中国资本市场机构投资者数据为基础，根据股权集中度和换手率的特点，将机构投资者分为专一型、瞬变型和长期分散型三种类型，考察了不同类型机构投资者在股价高估中的作用。实证结果表明:长期分散型机构投资者对股价高估的影响减弱，而专一型和短暂型机构投资者对股价高估的影响相反;分析师的担忧强化了这三类机构投资者对股价高估的异质效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Heterogeneity of Institutional Investors Based on Feature Extraction of Investment Behavior and Overvaluation of Stock Price

Based on the data of institutional investors in China's capital market from 2009 to 2017, this paper divides institutional investors into three types according to the characteristics of shareholding concentration and turnover rate: dedicated, transient and long-term dispersed, and examines the role of different types of institutional investors in overvaluation of stock prices. The empirical results show that: long-term dispersed institutional investors have a weakening effect on stock price overvaluation, while dedicated and transient institutional investors have the opposite effect; Analysts' concern strengthens the heterogeneous effect of these three types of institutional investors on stock price overvaluation.

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2019 International Conference on Economic Management and Model Engineering (ICEMME)

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