Journal of Banking and Finance ·Volume 89· APR 2018

机构交易和资产定价

作者：Bart Frijns (Department of Finance, Auckland University of Technology)

Thanh D.Huynh (Department of Banking and Finance, Monash Business School, Monash University)

Alireza Tourani-Rad (Department of Finance, Auckland University of Technology)

P. Joakim Westerholm(The University of Sydney Business School)

摘要：本文考察了不同类型投资者(即机构与散户)的交易活动是否会影响β与平均收益之间的关系。我们发现，在机构交易活跃度高的交易日，β与回报的正向关系很强，在机构交易较不活跃的交易日则显著负相关。我们的研究结果是稳健的，并不是由宏观经济新闻和杠杆约束等效应驱动的。我们的结果和不同类型的投资者（通过其交易活动反映出来）的偏好和特征使得证券市场线的斜率改变的假说是一致的。

关键词：中介资产定价；机构交易；投资者偏好；CAPM

Institutional trading and asset pricing

Bart Frijns (Department of Finance, Auckland University of Technology) Thanh D.Huynh (Department of Banking and Finance, Monash Business School, Monash University) Alireza Tourani-Rad (Department of Finance, Auckland University of Technology) P. Joakim Westerholm(The University of Sydney Business School)

ABSTRACT

This paper examines whether the trading activity of different investor types, institutional versus retail, can affect the relation between beta and average returns. We find that the beta-return relation is strong and positive on days with high institutional trading activity, and negative and significant on low institutional trading days. Our findings are robust and not driven by recently documented effects such as macroeconomic news and leverage constraints, among others. The evidence is consistent with the hypothesis that the preferences and characteristics of various investor types, which are revealed through their trading activity, cause the slope of the Security Market Line to change.

Keywords: Intermediary asset pricing; Institutional trading; Investor preferences; CAPM

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300244

翻译：张展