THE JOURNAL OF CORPORATE FINANCE · Volume 37, April 2016, Pages 132–151

单一经营企业的机构投资及对于对冲决定的启示

作者：Bernadette A. Minton，Catherine Schrand

摘要：我们证明了投资于某一行业股票的机构投资者仍然暴露于该行业的风险因子。主营业务单一（pure play）的企业会有着较多的机构投资者，机构会在自己的投资组合中更多地配置这类股票，更少地配置同行业中的其他企业的股票。如果以换手率和价格冲击来衡量的话，这些主营业务单一企业的股票有着更好的流动性。这些结果暗示着企业对于这些偏好的迎合可能是公司风险管理决策中一个重要的变量，潜在的降低了通过对冲来降低波动率的动机。我们进一步刻画了机构投资者对于主营业务单一企业股票的偏好随着机构类型、行业种类以及时间的变化。

关键词：机构投资，对冲，迎合，单一经营企业股票

Institutional investments in pure play stocks and implications for hedging decisions

Bernadette A. Minton，Catherine Schrand

ABSTRACT

We show that institutions invest in stocks within an industry that maintain exposure to their underlying industry risk factor. These “pure play” stocks have greater numbers of institutional investors and institutions systematically overweight them in their portfolios while underweighting low industry-exposure stocks of firms in the same nominal industry. Pure play stocks also have greater liquidity measured by stock turnover and price impact. An implication of these results is that catering to these preferences could be an important variable in firms' risk management decisions, potentially offsetting incentives to reduce volatility via hedging. We further characterize institutions' investments for pure play stocks across institution type, industries, and over time.

Keywords: Institutional investor, Hedging, Catering, Pure play stocks

原文链接：

http://www.sciencedirect.com/science/article/pii/S0929119915001625

翻译：田佳琪