Financial Analyst Journal, Volume67, Issue6, 2011

国际机构投资者对当地股票价格的影响：规模溢价的反转

作者：Hao Jiang (Erasmus University)

Takeshi Yamada (National University of Singapore)

摘要：本文利用来自日本的综合性公司股权数据，发现股权规模溢价与国际机构投资者的投资流动密切相关。上世纪90年代中期，当投资流动加剧，并转向大盘股时，股本规模溢价出现反转。研究结果表明，无论公司大小及其基本面的变化状况如何，规模溢价中的时变部分很大程度上是由价格压力所驱动的。

The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium

Hao Jiang (Erasmus University), Takeshi Yamada (National University of Singapore)

ABSTRACT

Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size premium is driven by price pressures, regardless of any shift in the fundamentals of small and large companies.

原文链接：https://www.cfapubs.org/doi/abs/10.2469/faj.v67.n6.2

翻译：秦秀婷