CAJ | 학술논문

机构投资者能否战胜个人投资者的问题受到国内外理论界和实务界的持续关注，本文从投资者的仓位变化这一角度对该问题进行了研究。本文发现在好消息公布之前，机构投资者的仓位增加，反之机构投资者的仓位减少，其仓位变化与股票收益存在正相关关系；而个人投资者采取了与机构投资者相反的操作策略，仓位变化与股票收益存在负相关关系。这些研究结果意味着机构投资者获得了高于个人投资者的投资收益。这一发现与很多西方学者的研究结果并不一致，说明在信息透明度较低的中国资本市场中，机构投资者能够通过知情交易获得更高的收益。本文的研究结论有助于拓展人们对知情交易与市场效率关系的认识。
궤구투자자능부전성개인투자자적문제수도국내외이론계화실무계적지속관주，본문종투자자적창위변화저일각도대해문제진행료연구。본문발현재호소식공포지전，궤구투자자적창위증가，반지궤구투자자적창위감소，기창위변화여고표수익존재정상관관계；이개인투자자채취료여궤구투자자상반적조작책략，창위변화여고표수익존재부상관관계。저사연구결과의미착궤구투자자획득료고우개인투자자적투자수익。저일발현여흔다서방학자적연구결과병불일치，설명재신식투명도교저적중국자본시장중，궤구투자자능구통과지정교역획득경고적수익。본문적연구결론유조우탁전인문대지정교역여시장효솔관계적인식。
Literatures based on overseas data consistently indicate that institutional investors＇ returns are lower than individual investors＇ returns. This paper investigates the return difference between institutional investors and individual investors from the view of position change. Before good news release, institutional investor will buy accurately, and before bad new release, institutional investor will sell accurately. Institutional investors＇ po- sition change is positively correlated with abnormal return. However, individual investors＇ position change is negatively correlated with abnormal return. Adopting the changes in holding positions around the financial disclosure time to measure the investors＇ information advantage, this paper reveals that institutional investors are better informed than individual investors. This paper enlightens us the role of informed trading in stock market efficiency.