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本文采用2008年1月到2013年12月的季度户均持股比例、机构持股比例增长率数据,基于个人投资者对机构投资者行为进行跟风的羊群行为,使用SAS构建相应的量化投资组合,进行收益分析。最终得出结论,户均持股比例较低而机构持股比例增长率较高的投资组合往往能够获得超过指数收益的超额收益,且该效应在指数震荡下行期间表现尤其明显。
In this paper, we use the quarterly household holdings and institutional holdings growth data from January 2008 to December 2013. Based on the herd behavior of individual investors following the behavior of institutional investors, we use SAS to construct the corresponding quantitative investment Combination, for revenue analysis. Finally, the conclusion is that the portfolio with lower per-share ownership and higher growth rate of institutional ownership tends to gain excess returns over the index return, and this effect is particularly evident during the index shockdown.