机构投资者股票投资业绩研究——基于中国A股的经验数据
The Performance of Institutional Investors——Based on the Analysis of Chinese A Share Market
作者: 张传美 ：东北财经大学研究生院，大连;
关键词: 机构投资者； 投资业绩； 超额收益率； Institutional Investors； Performance of Investment； The Excessive Returns
摘要:Abstract: This paper mainly focuses on the performance of institutional investors who invest in Chinese A share market during 2002 and 2012 by regarding all the institutional investors as a large group and classifying them into different groups, then study their aggregate returns which are total market capitalization weighted. Besides, this paper also makes comparisons among institutional investors, individual investors, the total A share market and the index, founding that only the institutional investors have an excessive return that is significantly above zero and that the fund and the general corporations perform better than other institutions. The result means that the institutional investors perform better than the individual investors. At the end of this paper, this paper tries to find the possible causes of institutional investors’ excessive returns by CAPM model and Fama-French three-factor model.
文章引用: 张传美 (2014) 机构投资者股票投资业绩研究——基于中国A股的经验数据。 金融， 4， 16-24. doi: 10.12677/FIN.2014.41003
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