Public Information and Professional Investors' Information Explanatory Capability: A Study Based on the Market Price

摘要

In markets such as the real estate market and the security market, the investors are classified as the professional and the non-professional ones. Prior studies show that each type of investor has a quite different Information Explanatory Capability (IEC) and their IECs affect the market pricing mechanism differently. As matter of facts, the institutional investors, such as the Real Estate Investor Trust (REIT) in the real estate market and the Closed Security Investment Fund (CSIF) in the capital market are all important market participants, and they all have been affected the working of its respective market. Limited by the research database of Chinese real estate market, the paper explores different investors' information explanatory capability on the public information of the past price behavior by the means of the nonparametric Mann-Whitney U Test, based on the past stock price during 2000-2003 and focusing on the stocks invested heavily by CSIF. Consistency with the hypothesis of the weak form efficiency, the finding shows that the professional investor does not obviously reveal a stronger explanatory capability on past price data than that of the non-professional investors as shown in the market price seeking mechanism.