机构投资者、公允价值与市场波动——基于我国A股市场面板数据的实证研究
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财经研究 2010 年 第 36 卷第 02 期, 页码：111 - 121
摘要
参考文献
摘要
文章研究了机构投资者对所投资公司公允价值计量的偏好和机构行为与市场波动的关系,以及公允价值计量方式对于市场波动的影响,并且检验了公允价值计量收益和机构交易对于市场波动的交互作用。研究发现,机构表现出对于公允价值计量资产的回避态度。公允价值计量收益减小了市场波动,而机构投资者的持股和交易却显著加剧了波动,这与我国基金普遍存在短视和羊群行为的解释相吻合。研究结论对于促进公允价值计量,限制机构投机,提高市场效率具有参考意义。
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[2]黄世忠.公允价值会计:面向21世纪的计量模式[J].会计研究,1997,(12):1-4.
[3]葛家澍.关于公允价值会计的研究[J].会计研究,2009,(5):6-13.
[4]祁斌,黄明,陈卓思.机构投资者与股市波动性[J].金融研究,2006,(9):54-64.
[5]伍旭川,何鹏.中国开放式基金羊群行为分析[J].金融研究,2005,(5):60-69.
[6]姚颐,刘志远.震荡市场、机构投资者与市场稳定[J].管理世界,2008,(8):22-32.
[7]Barth Mary E,Beaver William H.Value-relevance of banks’fair value disclosures underSFAS No.107[J].The Accounting Review,1996,71(4):513-537.
[8]Bushee Brian J.Do institutional investors prefer near-term earnings over long-runvalue?[J].Contemporary Accounting Research,2001,18(2):207-246.
[9]Chidambaran N,John K.Relationship investing and corporate governance[EB/OL].ht-tp://papers.ssrn.com,2000-11-24.
[10]Dennis Patrick J,Deon Strickland.Who blinks in volatile markets,individuals or insti-tutions[J].The Journal of Finance.2002,57(5):1923-1949.
[11]Gompers Paul A,Metrick Andrew.Institutional investors and equity prices[J].Quar-terly Journal of Economics,2001,116(1):229-259.
[12]Grossman Sanford J,Stiglitz Joseph E.On the impossibility of informationally efficientmarkets[J].American Economic Review,1980,70(3):393-408.
[13]Hodder Leslie D,Hopkins Patrick E,Wahlen James M.Risk-relevance of fair-value in-come measures for commercial banks[J].Accounting Review,2006,81(2):337-375.
[14]Karpoff Jonathan M.The relation between price changes and trading volume:Asurvey[J].Journal of Financial&Quantitative Analysis,1987,22(1):109-126.
[15]Khan Urooj.Does fair value accounting contribute to systemic risk in the banking in-dustry[EB/OL].http://papers.ssrn.com,2009-08-31.
[16]Khurana Inder K,Myung-Sun Kim.Relative value relevance of historical cost vs fairvalue:Evidence from bank holding companies[J].Journal of Accounting&Public Poli-cy,2003,22(1):19-42.
[17]Plantin Guillaume,Sapra Haresh,Shin Hyun Song.Marking-to-Market:Panacea orPandora’s Box?[J].Journal of Accounting Research,2008,46(2):435-460.
[18]Rubin Amir,Daniel R Smith.Institutional ownership volatility and dividends[EB/OL].http://papers.ssrn.com,2008-01-25.
[19]Sias.Richard W.Volatility and institutional investor[J].Financial Analysts Journal,1996,52(2):13-20.
[20]Sosin Kim,Rives Janet,West Janet.Unions and gender pay equity in academe:A studyof US[J].Institutions Feminist Economics,1998,4(2):25-45.
[21]Wei Steven X,Chu Zhang.Why did individual stocks become more volatile?[J].Jour-nal of Business,2006,79(1):259-292.
引用本文
刘奕均, 胡奕明. 机构投资者、公允价值与市场波动——基于我国A股市场面板数据的实证研究[J]. 财经研究, 2010, 36(2): 111–121.
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