An Empirical Study on the Prudent Stock Preferences of Chinese Institutional Investors

【摘要 (中文/英文)】 自上世纪80年代以来,全球金融市场出现了股权机构化的发展趋势,机构投资者已成为全球范围内资金实力雄厚、拥有巨大市场影响力的主体。而与此同时,西方国家对本国机构投资者持股偏好的审慎性也越来越关注,这是因为共同基金、养老保险等产品是该国居民主要的投资方向,机构投资者如不能履行自己的审慎投资义务,就会将公众的信托财产置于险境,一旦机构持有的风险资产发生大幅度减值,公众的利益就会受到严重损害,甚至该国的证券市场也会遭到冲击。有鉴于此,西方国家无不对该国机构投资者课以多种义务与要求,特别是在机构应承担的审慎投资义务方面,许多国家都要求机构在投资时必须具有专业的商人在处理自己事务时的注意、技能和审慎,这个标准显然是高于一般人的。 对机构投资者的内涵及特征的分析表明,机构投资者作为个人与市场之间的媒介,起着降低交易成本、切分市场风险的重要作用,其行为特征有别于个人投资者,应当更倾向于理性与审慎的投资;而在回顾机构投资者审慎投资义务的发展历程后可以看出,审慎投资义务源于英美法系国家的信托法,其内涵伴随着“审慎人”规则的发展而不断地丰富和完善,已逐步演化为外在的法律制度与内在的文化价值相结合的体系,它对...更多英美法系国家的机构投资者的投资活动产生了十分重要的影响。 由于研究机构投资者审慎性持股偏好具有较高的理论及现实意义,国外学者已对其做了一系列的研究,其中最重要的研究成果有二:一是S.G. Badrinath et al (1989)首次对机构投资者审慎性持股偏好进行实证研究,他们选择了一系列能够代表公司审慎性的特征变量,并在横截面回归后,得出美国机构投资者在1985年末的持股偏好具有审慎性的结论;二是S.G. Eakins et al (1998)运用五分位数法分组回归对机构投资者持股偏好进行非线性检验,最后根据机构对极端特征值的厌恶来断定美国机构投资者具有审慎性持股偏好。此外,还有一些学者对该问题进行了研究,虽然他们的研究对象、样本区间、检验方法和最终结果都有所不同,但基本上都能得出机构投资者持股特征具有审慎性的结论。 我国机构投资者的发展历程还不足20年。出于对改善证券市场投资者结构、倡导价值投资理念和稳定市场的考虑,决策层自1999年提出“超常规发展机构投资者”以来,先后做出了一系列鼓励机构投资者发展的重大举措,包括强化开放式基金的主导地位、扩大社保基金和保险资金的入市比例、增加QFII额度等。在决策层的推动下,我国机构投资者近年来发展很快,特别是自2005年中期以来,随着股权分置改革的不断深入,我国证券市场的投资价值不断上升,市场行情日益火爆,机构投资者迎来了发展的黄金时期,其资产规模不断扩大,市场影响力也不断增强,逐步形成投资基金、QFII、社保基金、保险公司等多元主体蓬勃发展的景象。 我国机构投资者的市场影响力越来越大,牵涉的公众利益也越来越多,考虑到机构进行非审慎性投资对个人投资者的利益、市场的价值投资理念和股市稳定所造成的消极影响,对其投资行为的监管和对其持股偏好的研究就显得日益重要。然而,与此相对应的是:一方面,我国现行监管体系在对社保基金、企业年金、保险公司等机构投资者的监管上,普遍采用严格的定量限制监管,而在对以基金为代表的机构投资者的监管上却存在一定程度的“缺位”,至今尚未形成规范这类机构持股行为的、具有可操作性的法律法规;另一方面,我国学界对机构投资者持股偏好的研究比较薄弱,现有的研究成果也只是从侧面检验公司审慎性特征变量与机构持股比例之间的关系,还没有专门对我国机构投资者的审慎性持股偏好进行研究的文献。上述情况表明,我国监管层和学术界对该问题的重视不足,因此,对我国机构投资者的审慎性持股偏好进行实证研究,进而为机构投资者审慎投资理念的树立、为决策层、监管层的政策制定与监管实施提供参考意见,也就具有非常重要的理论价值和现实意义。 围绕上述目的,本文在S.G. Badrinath等人所构建的模型以及S.G. Eakins等人所采用的分组回归方法的基础上,对我国机构投资者的持股偏好进行了实证分析。具体方法如下:首先,在已有研究成果的基础上,对我国机构投资者的审慎性持股偏好提出了两个假设;其次,以机构持股占个股流通盘的比例为因变量,以公司的总资产对数值、波动率、贝塔值、Jensen指标、资产负债率、股息率、年度换手率、上市年限为解释变量,并在引入沪深300虚拟变量后,建立了多元线性回归模型;最后,采用我国证券市场迎来历史性大牛市、机构投资者发展最为迅猛的2006年末-2007年3季末的四个横截面数据,对各解释变量与机构持股比例之间的关系进行了实证检验。经过全样本回归和分组回归后,本文发现: 1.我国机构投资者偏好持有换手率较低和上市年限较短的股票,而总资产对数值、波动率、资产负债率及股息率与机构持股比例之间不存在显著的相关关系,表明我国机构投资者对具有审慎性特征的个股没有明显的偏好;同时,我国机构投资者对五个特征变量的极端值都表现出一定程度的偏好,也表明我国机构投资者对特征变量取值极端的个股没有表现出明显的厌恶。这些结果说明,我国机构投资者的持股偏好是非审慎的,换言之,我国机构投资者不是西方学者所说的“审慎人”。 2.我国机构投资者对沪深300成份股也即外部确认更好的个股具有显著偏好,表明我国机构投资者愿意向市场传递自己是个“审慎人”的信号,其原因可能是持有这种股票的机构易于获得市场的认同,从而能够在遭受重大损失时获得免于法律纠纷的“安全网”。而分组回归结果显示,在沪深300组中,机构还是倾向于持有波动率较高、换手率较低和上市年限较短的个股。这些结果说明,我国机构投资者对沪深300成份股的偏好仅仅是“显得”审慎而非“真正”审慎。 综上所述,在股市持续火爆的2006年末-2007年3季末,我国机构投资者普遍存在风险意识淡漠、过于注重短期利益的情况,这给公众委托人的利益和市场未来的发展造成了一定的隐患。如果不能在法律、制度层面上予以引导、纠正的话,这种隐患在市场走势发生不利变化的时候,将可能给公众带来重大损失,进而引发一系列的法律纠纷,甚至损害整个证券行业的声誉和形象。因此,本文在最后对规范机构投资者的持股行为、引导其进行审慎投资提出了若干建议。 

 Since 1980s there is a trend of Equity Institutionalization in matured markets which makes institutional investors the main entities with abundant capital and great market power. Meanwhile western countries pay more attention to the prudent stock preference of domestic institutional investors. Because mutual fund, pension fund and some other products are main investments of residents. If they can’t fulfill their duties of prudent investment, the public benefits will be in danger. When risky assets hold by institutional investors encounter huge loss, benefits of the public will be badly hurt, even the domestic security market will be shocked. Taking this into account, all the western countries put lots of duties on domestic institutional investors. Especially about the duty of prudent investment, many countries require institutional investors to provide the care, skills and prudence just as specialized merchants dealing with their own affairs. The analysis of institutional investors’definition and characteristics shows that institutional investors are playing important roles in cutting trading costs and slicing market risks. Their characteristics are totally different from individual investors and should tilt towards reasonable and prudent investments. After reviewing the development of prudent investment duties, we see that the duty of prudent investment stemmed from the trust law rooted in Anglo-American law system. Its connotation which developed with the prudent man law has gradually evolved into the combination of external legal system and internal cultural value, and it has great impact on institutional investors’activities in common law countries. Foreign scholars did some studies on the prudent stock preference of institutional investors, and two of them are very important. Firstly, S.G. Badrinath et al (1989) studied the prudent stock preference of institutional investors for the first time. By choosing prudent determinants and making cross-sectional regressions, they find that American institutions preferred stocks with prudent characteristics in the end of 1985. Secondly, S.G. Eakins et al (1998) used quintile method to study the stock preference of institutional investors, and they concluded that American institutions were prudent because they avoided holding stocks with extreme values. Some other scholars have done some studies on it. Although their subjects, sample ranges, test methods and the final results are slightly different, they can basically get the conclusion that institutional investors are prudent. Chinese institutional investors have developed for less than 20 years. For improving the investor composition of our security market, advocating the concept of value investment and market stabilization, our decision-makers have tried many ways to encourage the development of Chinese institutional investors since 1999. Those ways consist of strengthening the open-ended funds, expanding the proportion of social security funds and insurance funds, increasing the specified amount of QFII and so on. Pushed by our decision-makers, Chinese institutional investors enjoyed a very fast development. Especially from the middle of 2005, pushed by the reform of equity division, the investment value of our security market rises quickly, and the market is becoming better and better. Now Chinese institutional investors are in their golden time. We can see a prosperous scene that mutual funds, QFII, social security funds, Insurance Companies and other entities develop together. Chinese institutional investors have more and more impact on our stock market, and more and more public benefits are involved. Considering negative effects incurred by imprudent investments on individual investors’benefits, the value investment and market stabilization, we should pay more attention to the regulation on their activities and the study on their stock preference. However, our supervision is still somewhat vacant. There aren’t any practicable laws which specify investment activities of such institutions. What’s more, however, the studies on stock preferences of Chinese institutional investors are particularly inadequate. And there is no paper mainly about the prudence of Chinese institutional investors’stock preferences. It’s obvious that both the regulation system and the academic circle haven’t paid enough attention to this problem. Studies on the prudence of their stock preference will provide help to forming the prudent investment concept for Chinese institutional investors, and to giving some useful suggestions to our decision-makers and regulation system. So this paper is practically and theoretically important. Guided by above objectives, we make an empirical study on stock preferences of Chinese institutional investors. Our study is based on models and methods designed by S.G. Badrinath et al (1989) and S.G. Eakins et al (1998). The empirical examination is organized as follows. Firstly, we put forward two assumptions about stock preferences of Chinese institutional investors. Secondly, we choose the proportion of shares held by institutions as dependent variable, and we use log of the total asset, volatility, beta, Jensen Index, debt-to-asset ratio, dividend yield, turnover ratio, years listed in exchange and HS300 Index dummy as explanatory variables. Then we set up a multiple regression model. Finally, we use the cross-sectional data from the end of 2006 to the end of 2007Q3 to test the relationship between the explanatory variables and the proportion held by institutions. After entire sample regression and grouping regressions, we find that: 1. Chinese institutional investors prefer low turnover ratio and young stocks, and the coefficients of Ln(TA), SIGMA, LEV and DY are all insignificant. It is obvious that Chinese institutional investors have no preference for stocks with prudent characteristics. Meanwhile, they show significant preference for extreme values of five variables, which shows that Chinese institutional investors do not avoid stocks with extreme values. These results indicate that stock preferences of the Chinese institutional investors are not prudent, in other words, they are not“prudent men”as called by foreign scholars. 2. Chinese institutional investors have a significant preference for HS300 component stocks. It shows that Chinese institutional investors are willing to transmit a signal that they are prudent. Because holding those stocks are easier to obtain identifications from market and to escape from lawsuits when they encounter huge losses. The results of grouping regression show that, among the HS300, institutions tilt highly towards stocks with low turnover ratio and few years listed. It’s clear that those institutions only pretend to be prudent but actually not. To sum up, from 2006 to 2007Q3, there are some problems with Chinese institutional investors, such as lack of risk sensitivity and pursuing short-term benefits. Therefore, there will be some hidden dangers in the benefits of the trustee and the future development of our security market. If we fail to make some corrections, those dangers will finally turn out to be huge losses and then result in a series of lawsuits and cause damages to the prestige and the image of the whole investment industry. So, in the end of this paper, we put forward some suggestions which may provide help to monitor investment conducts of institutional investors and to lead them to prudent investments.

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