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

摘要: 本文主要研究机构投资者股票投资业绩，以2002年1季度~2012年4季度中国A股市场上所有机构投资者为研究对象，以机构投资者所持有的投资组合的收益率衡量其业绩。首先将所有机构投资者看作一个整体，比较其预期收益与市场预期收益以及个人投资者预期收益的差异；然后将机构投资者分类分析，分析不同机构投资者的业绩差异。研究结果表明机构投资者的业绩要高于市场指数收益和个人投资者的业绩，基金和一般法人的业绩优于其他类型机构投资者的业绩。同时本文利用资本资产定价模型和Fama-French三因子模型对机构和个人投资的预期收益率进行分析，并尝试找出两个投资群体不同收益率背后的原因。

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.