本周四（11月8日）中午，在经济学院的第二会议室，我校金融学院黄涛博士在我院做了题为“Portfolio Distortions among Institutional Investors - Evidence from China”的学术报告，共有外语学院、产业经济研究院和我院的十来位教师参加本次学术讨论。
黄博士的论文旨在探讨中国股市中的机构投资者是否存在赌博性行为（英文摘要附后）。通过A股机构投资者的持股情况的计量经济学分析发现，机构投资者持有“彩票型”股票的收益要高于正常水平，从而推测，这是由于基金经理有更多的信息所以持有该股票，因而基金公司持有这种类型的股票并非赌博性行为。该论文还做了想多多的工作以对主要假说进行辅助性证明。
在报告过程和之后，老师们围绕如何测度股票的偏度，稳健性检验和结果的含义等方面进行了广泛深入的讨论。（文/王宇锋）
Portfolio Distortions among Institutional Investors - Evidence from China
Abstract: The behavior of institutional investors often deviates from established personal or social norms, which may reflect either an informational advantage or psychological bias. In this paper, we investigate the incentives of Chinese mutual funds holding lottery-type stocks, which are characterized by low average returns and high risk. We find that funds at the aggregate level do not exhibit a propensity to gamble, but when they do, they earn abnormal returns on lottery-type investments. Gambling-related outperformance is greater among held firms with characteristics which enable fund managers to obtain more informational advantages. Our results suggest that portfolio distortion is driven by the ability of managers to capitalize private information rather than by behavioral bias.
Abstract: The behavior of institutional investors often deviates from established personal or social norms, which may reflect either an informational advantage or psychological bias. In this paper, we investigate the incentives of Chinese mutual funds holding lottery-type stocks, which are characterized by low average returns and high risk. We find that funds at the aggregate level do not exhibit a propensity to gamble, but when they do, they earn abnormal returns on lottery-type investments. Gambling-related outperformance is greater among held firms with characteristics which enable fund managers to obtain more informational advantages. Our results suggest that portfolio distortion is driven by the ability of managers to capitalize private information rather than by behavioral bias.
