机构投资者动态异质性的表现、作用机制及经济后果：基于制度经济学框架的分析

This project aims to examine the existence, mechanism and consequences of institutional investors’ dynamic heterogeneity in China. Theoretically, institutional investors’ dynamic heterogeneity is defined as time-series and cross-sectional changing feature of institutional investors. Empirically, this project uses whether an institutional investor is a common blockholder of two or more firms in the same industry and how intensive such common ownership is within an industry as the proxy for institutional investors’ dynamic heterogeneity. As partial diversified investors, common blockholder pursue for portfolio return maximization instead of single firm return maximization, which in turn would lead to anti-competition outcome.This project plans to first document the current status of common ownership and how common ownership changes over time. Then the project would test how common ownership would influence firms’ voluntary disclosure behavior. Moreover, the project selects banking industry to test whether besides anti-competition effect, common ownership would restrain banks’ excessive risk-taking behavior, reflecting in syndication loan structure and contracting terms. Additionally, the project would test how political economy shapes common ownership by testing the mitigating effect of state ownership in restraining anti-competition effect induced by common ownership. The project uses the setting of 2017 CSRC’s new regulation on mutual funds’ liquidity restriction as an exogenous shock to institutional investors portfolio structure, to enhance identification.This project would shed light on how institutional investors’ dynamic heterogeneity works in emerging market and has policy implications.

本项目计划研究我国机构投资者动态异质性的表现、作用机制及后果。理论上，机构投资者的动态异质性被定义为时间序列和横截面上其所呈现出差异性经济动机。实证上，以机构投资者是否为同行业两个或多个上市公司的“共同大股东”及其持股强度，为衡量其动态异质性的代理变量。作为不完全风险分散化的“共同大股东”，其追求投资组合利益最大化的经济动机通过影响管理层的决策而实现抑制行业竞争的效果。本项目计划首先描述机构投资者的动态异质性在我国资本市场的表现和发展趋势，进而研究机构投资者的动态异质性对上市公司主动信息披露的影响、对银团借贷中风险控制的作用，以及对高管薪酬设计的作用机制。并且，本项目还计划研究国有资本在限制“共同大股东”抑制竞争的动机方面的积极性作用。此外，借由2017年证监会发布并实施的《公开募集开放式证券投资基金流动性风险管理规定》为外生冲击到机构投资者动态异质性的类自然实验，能够更好地识别因果关系。

本课题分析机构投资者动态异质性的广泛资本市场影响。研究背景为2017年证监会正式发布了《公开募集开放式证券投资基金流动性风险管理规定》，并从2017年10月1日起正式实施。新规着重关注于货币市场基金的流动性风险，其中一条规定是再次收紧公募基金投资比例的限制。.本课题围绕机构投资者动态异质性这一特征，以机构投资者动态变化的持仓作为衡量其时间序列和横截面上异质性特征的方法，研究机构投资者动态异质性的经济后果。在实证上，本课题以机构投资者是否为同行业两个或多个上市公司的“共同大股东”及其持股强度，作为衡量机构投资者动态异质性的代理变量。课题研究了机构投资者作为“共同大股东”对银团借贷的合同设计和经济后果的影响，对其他机构投资者如对冲基金激进主义者目标公司选择和干预策略设定的影响。.在更广泛的层面上，课题还进行了进一步拓展，研究我国特殊的机构投资者持股所产生的企业集团这一组织形态是否会影响其他市场参与者行为，以及广泛意义上宏观环境对机构投资者、上市公司行为的影响。

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