机构投资者交易行为的理论和实证研究

In the past 30 years, a significant trend in the financial markets is the emergence of institutional investors. The stylized facts about Institutional include: they are usually informed; they are more rational than individual investors and usually stabilize security prices; they usually trade strategically by taking into accounting the market impact of their trades. Kyle (1985) provides a seminar framework to analyze the strategic trading of large informed investors （proxy for institutional investors） with these features, which is followed by much of the literature...Financial markets enter a new era. Nowadays, financial markets are characterized by an almost continuous flow of new information; financial markets are close to continuous trading; algorithmic trading has been widely used by institutional traders who trade for liquidity purpose to divide large trades into smaller pieces to reduce market impact; empirical evidence shows that the trading of institutional investors can be destabilizing. In addition, new challenges emerge: price spikes occur quite often in financial markets (e.g., the Flash Crash on May 6, 2010), voluminous financial anomalies on return predictability have been documented, and technical analysis is widely used by institutional investors. In addition, recent empirical evidence shows that there may exist casual relations between institutional investors’ trading and prices spikes and financial anomalies. ..However, the assumptions of the Kyle-model and much of its extensions are far away from the current market environment, and they are unable to explain the new challenges. Using dynamic game theory under incomplete information as the framework, based on modern asset pricing and market microstructure theory, we apply matrix calculus, stochastic process, and dynamic programming as tools to develop two strategic trading models under the new market environment: the dynamic strategic trading model with smooth liquidity trading and the strategic trading model with both an informed trader and uninformed technical traders who use technical analysis. We then conduct equilibrium analysis. We empirically estimate the model with smooth liquidity trading and the Kyle-model using data from the U.S. stock market and from the Chinese stock market and compare their performance in explaining the empirical data. ..These models are useful to evaluate the impact of algorithmic trading on the financial markets, to understand the trading strategies of institutional investors, to estimate the effects of technical analysis, and to establish a relation between institutional investors’ trading and financial anomalies, to evaluate whether institutional investors stabilize or destabilize the security prices and determine the corresponding conditions, to estimate quantitatively the market impact cost function under the new market environment, and to understand the mechanism behind price spikes.

近30年中机构投资者成为金融市场的主体。从理论和实证理解他们的交易行为无疑是个重要的问题。机构投资者一般被称为聪明的钱，在证券市场中充当"稳定器"的作用，他们策略性交易以降低市场冲击成本。Kyle（1985）第一个提出基于博弈论的关于机构投资者交易行为的模型。但是，已有研究的假设与当前市场环境存在很大差距，也无法解释超短时间内价格的暴涨暴跌和量化交易基金使用技术分析获利，机构投资者交易和金融异象之间的因果关系等新的现象。本项目针对机构投资者交易行为的研究现状和局限性，以不完全信息条件下动态博弈为理论框架，以资产定价和市场微观结构理论为基础，利用矩阵运算，随机过程，动态规划等为分析手段建立适应新市场环境的关于机构投资者交易行为的博弈模型，讨论均衡性质，利用中美数据进行检验。通过这些研究内容的有机融合，将形成一个关于机构投资者交易行为的系统的理论研究与实际应用体系,有助于解释上述新现象,为投资者和决策机构提供参考，具有实际价值。

机构投资者是金融市场中的重要组成部分，影响日益增加。本项目研究机构投资者业绩的评估，其交易对市场交易成本，市场效率及复杂信息下资产价格的影响，和中国金融市场基金等的行为特征。. 重要结果如下：（1）度量机构投资者业绩的夏普率不完善，无法比较不同投资期限的投资者，如长线价值投资的巴菲特和短线量化交易的西蒙斯，的业绩。我们构建一个无限期模型，发现一个额外的度量标准：阿尔法衰减。这两个指可以解释一些矛盾的实证结果。（2）存在做市商（一种机构投资者）时，价格中包含三个交易成本的成分：和交易订单方向一致的固定成本，和交易订单成正比的可变成本，及和交易订单成反比的逆变成本。美国逐笔成交数据表明只有可变成本随着时间变动比较稳定。（3）和传统竞争性模型相比，机构投资者交易对市场有冲击，主要发送市价订单。我们发现其行为产生阻尼效应，导致市场效率（使用三个不同度量）降低。（4）在一个无限期模型中，机构投资者在复杂信息条件下表现为短视主义。好信息公告后，他们首先快速卖出，然后缓慢买入，导致价格短期反向变动。（5）中国的数据表明基金是短视主义，不是长线交易者。（6）在一个流动性交易者订单平滑化的无限期模型中，机构投资者交易得非常快。流动性冲击后，股价变动可以是稳定也可以非稳定的。当流动性冲击衰减速度很快时，一个负向流动性冲击导致价格立即快速下跌然后上涨，可以解释日内价格暴涨暴跌的现象 （price spike）。. 我们的项目研究有极其重要的科学和实践价值。首先，度量机构投资者业绩应该包括一个额外因子：阿尔法衰减。其次，我们建议适当限制机构投资者的短线交易，应该发展一般法人、养老基金、社保基金、保险资金、企业年金基金这样的长期战略投资者。再其次，建议公共宣传不要总是说机构投资者稳定市场，因为理性的机构投资者的交易可以是非稳定性及短视的。