THE JOURNAL OF CORPORATE FINANCE · Volume 37, April 2016, Pages 132–151

單一經營企業的機構投資及對于對沖決定的啟示

作者：Bernadette A. Minton，Catherine Schrand

摘要：我們證明了投資于某一行業股票的機構投資者仍然暴露于該行業的風險因子。主營業務單一（pure play）的企業會有着較多的機構投資者，機構會在自己的投資組合中更多地配置這類股票，更少地配置同行業中的其他企業的股票。如果以換手率和價格沖擊來衡量的話，這些主營業務單一企業的股票有着更好的流動性。這些結果暗示着企業對于這些偏好的迎合可能是公司風險管理決策中一個重要的變量，潛在的降低了通過對沖來降低波動率的動機。我們進一步刻畫了機構投資者對于主營業務單一企業股票的偏好随着機構類型、行業種類以及時間的變化。

關鍵詞：機構投資，對沖，迎合，單一經營企業股票

Institutional investments in pure play stocks and implications for hedging decisions

Bernadette A. Minton，Catherine Schrand

ABSTRACT

We show that institutions invest in stocks within an industry that maintain exposure to their underlying industry risk factor. These “pure play” stocks have greater numbers of institutional investors and institutions systematically overweight them in their portfolios while underweighting low industry-exposure stocks of firms in the same nominal industry. Pure play stocks also have greater liquidity measured by stock turnover and price impact. An implication of these results is that catering to these preferences could be an important variable in firms' risk management decisions, potentially offsetting incentives to reduce volatility via hedging. We further characterize institutions' investments for pure play stocks across institution type, industries, and over time.

Keywords: Institutional investor, Hedging, Catering, Pure play stocks

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0929119915001625

翻譯：田佳琪