激励重要：国内资金和价格信息的提高

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-10-26 DOI:10.1016/j.finmar.2025.101027

Shaoling Chen , Xi Wu , Haisheng Yang , Jiaying Zhong

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引用次数: 0

摘要

以2005年至2019年的中国上市公司为样本，我们没有发现国内资金对价格信息的贡献显著，这与文献中广泛记录的国内机构投资者的低信息行为一致。然而，当考虑到激励时，它们的影响就变得突出了。并对其潜在机制进行了探讨。我们进一步构建了公司层面的价格信息性，并将其分解为年度固定效应、基金经理的价格信息性和基金与股票的匹配性，以追踪各部分在价格信息性增强过程中的作用。

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Incentives matter: Domestic funds and price informativeness improvement

Using a sample of Chinese listed companies between 2005 and 2019, we do not find that domestic funds make a significant contribution to price informativeness, consistent with the low-information conductions of domestic institutional investors widely documented in the literature. However, their impacts become prominent when incentives are considered. The underlying mechanism is also explored. We further construct the firm-level price informativeness and decompose it into year fixed effect, price informativeness attributed to fund managers, and the matching between the fund and the stock to trace out the role of each part in this price informativeness enhancement process.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.