中国股票市场'聪明投资者'行为研究

摘要

The concept of "sophisticated investors" is to classify investors based on their investment returns and has been applied to latest investment practice, but there is a shortage of academic research.Its significance lies in that different from stock picking, this is a new investment idea of investor picking, namely finding out "sophisticated investors", following their investment and then obtaining excess returns.This paper puts forward the concept of "sophisticated investors" for the first time, and explores the reasons for profits from this strategy.It arrives at the conclusions as follows: firstly, "sophisticated investors" can be identified according to historical investment performance;secondly, "sophisticated investors" are differently from both of rational and institutional investors, showing future study should place emphasis on "sophisticated investors";thirdly, the performance of "sophisticated individuals" is better than the one of "sophisticated institutions", and preference differences account for this difference, namely target companies of "individual sophisticated investors" raise returns mainly through capital operation, thereby leading to higher excess returns, and target companies of "institutional sophisticated investors" rely more on their own business besides capital operation to raise their performance.It extends the idea of investor behavior research, reveals the importance of "alternative investors" and connects with international research of "smart money effect".Future research of the interaction between capital market and real economy can also be from the perspective of "sophisticated investors".The conclusions can be used to formulate effective investment strategies.%"聪明投资者"是根据投资绩效来界定投资者的一种新方法,在最新投资实践中有应用,但学术研究却十分缺乏.其意义在于,不同于"选股",这是一种"选人"的新投资思路,即找出"聪明投资者",并跟随其投资,便可以获取超额收益.文章首次提出了"聪明投资者"概念,并剖析了策略获得盈利的原因.研究发现,按历史投资绩效可以界定出"聪明投资者";"聪明投资者"既不同于理性投资者也不同于机构投资者,说明未来研究应重视这一分类;"聪明的个人"比"聪明的机构"绩效更好,偏好差异是造成这种差异的原因,"个人聪明投资者"的目标公司主要以资本运作方式来提高收益(因而超额收益更高),而"机构聪明投资者"的目标公司除了资本运作外更多地依靠自身经营来提高绩效.文章拓展了投资者行为研究的思路,揭示了"另类投资者"研究的重要性,且与国际上"聪明钱效应"的研究相衔接,未来资本市场与实体经济的相互影响也可从"聪明投资者"角度进行研究.文章的研究结果还可用于制订有效的投资策略.