Journal of Financial Markets, Volume 21, November 2014, Pages 76–97.

機構持股與流動性風險

作者：Charles Cao (Smeal College of Business, Pennsylvania State University; PBC School of Finance, Tsinghua University; The China Center for Financial Research (CCFR), Tsinghua University) , Lubomir Petrasek (Board of Governors of the Federal Reserve System)

摘要：機構持股影響股票收益對市場流動性變化的敏感性（流動性風險）。總的來說，機構持股會降低股票的流動性風險。但是不同種類的機構會對流動性風險産生相反的影響。相對其他機構或是個人持有的類似股票，對沖基金、尤其是杠杆對沖基金作為邊際投資人持有的股票對市場流動性變化更敏感。相反地，銀行持有的股票對總體流動性變化較不敏感。在控制了機構對不同股票特征和風險的偏好後的替代試驗中，這些結論仍具有穩健性。

關鍵詞：流動性風險；機構投資者；對沖基金持股

Liquidity risk and institutional ownership

Charles Cao (Smeal College of Business, Pennsylvania State University; PBC School of Finance, Tsinghua University; The China Center for Financial Research (CCFR), Tsinghua University) , Lubomir Petrasek (Board of Governors of the Federal Reserve System)

ABSTRACT

Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect liquidity risk in opposite ways. Stocks held by hedge funds, especially levered hedge funds, as marginal investors are more sensitive to changes in market liquidity than comparable stocks held by other types of institutions or by individuals. In contrast, stocks held by banks are less sensitive to changes in aggregate liquidity. These findings are robust to alternative specifications that control for institutional preferences for different stock characteristics and risk.

Keywords：Liquidity risk; Institutional investors; Hedge funds ownership

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418114000238

翻譯：黃怡文