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

机构持股与流动性风险

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：机构持股影响股票收益对市场流动性变化的敏感性（流动性风险）。总的来说，机构持股会降低股票的流动性风险。但是不同种类的机构会对流动性风险产生相反的影响。相对其他机构或是个人持有的类似股票，对冲基金、尤其是杠杆对冲基金作为边际投资人持有的股票对市场流动性变化更敏感。相反地，银行持有的股票对总体流动性变化较不敏感。在控制了机构对不同股票特征和风险的偏好后的替代试验中，这些结论仍具有稳健性。

关键词：流动性风险；机构投资者；对冲基金持股

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

原文链接：

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

翻译：黄怡文