本文研究中国股市知情交易概率(probability of informed trading,PIN)与基金投资业绩之间的关系,采用Easleyet al.(1996)提出的PIN测度,并进一步利用基金投资组合的PIN均值作为基金的信息测度。研究发现,知情交易概率与基金业绩之间存在显著的负相关关系。这说明对于基金而言,参与那些具有更高内幕/知情交易的股票,并没有取得更高的收益,或者即使本身作为知情交易者,基金根据所了解的私有信息所进行的交易并未让他们获得更好的收益,甚至反而给他们带来了损失,这与Barber and O dean等学者所发现的个人投资者行为相类似。
This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.
