機構投資者利用PEAD了嗎？

本文採用中國基日數據實證研究發現，機構投資者在了解股票盈餘信息方面具有更大的優勢，並預測到盈餘公告後價格漂移效應；機構投資者能夠通過主動的市場操作利用盈餘公告後價格漂移效應，同時，機構投資者的套利行為受到一定的限制，具體表現在各種套利局限因素都對機構投資者的行為具有顯著影響；即使構造最有利的投資策略，機構投資者也很難獲得超額收益。本文同時發現，受到業績導向的套利約束，開放式基金比封閉式基金更關注股票的交易成本和流動性。
Using the dynamic data of institutional investor’s ownership of China’s stock, we investigate the institutional investors trading characteristic. It shows that institutional investors take more advantage of understanding earning information and exploit the PEAD. But the arbitrage trade is limited by some factors such as transition costm liquidity, arbitrage risk and so on. We construct an available trading strategy based on the pattern of PEAD and find that even under the best condition, this strategy can not make significant abnormal return which implies the week efficiency of China’s Stock Market. We also find that under the restriction of performance-based arbitrage, open fund care more on the stock’s transaction cost and liquidity than close fund. Copyright © 2007 北京大學出版社.