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基于投资者在不同流动性状况下的行为,研究他们对股票收益率影响,结果表明:个人股东数和持股比例对收益率具有负向影响,而机构股东数和持股比例对收益率具有正向影响,且在发生流动性黑洞时,两者的影响都得到加强;不同机构投资者对收益率影响方向不同,有些机构投资者在不同流动性状况下对收益率影响方向和强度也不同;个人股权集中度在不同流动性状况下对收益率影响方向并不具有一致性,机构投资者股权集中度越大,收益率越高,且这种影响在发生流动性黑洞时更强烈。
Based on the behavior of investors under different liquidity conditions, we study their impact on stock returns. The results show that the number of individual shareholders and shareholding ratio have a negative impact on the yield, while the number of institutional shareholders and shareholding ratio have the effect on the yield Positive impact, and in the event of a liquid black hole, the impact of both have been strengthened; different institutional investors have different direction on the rate of return, some institutional investors in different liquidity conditions on the direction and intensity of the impact on profitability is also different ; Individual ownership concentration does not have the same effect on the rate of return under different liquidity conditions. The greater the degree of institutional investors’ equity concentration, the higher the rate of return, and the stronger this effect is when a liquidity black hole occurs.