Index Fund Ownership,Stock Liquidity And Peer Effects Of Corporate Capital Investment

Over the past 20 years,institutional investors have grown up greatly in the global financial system,and their dominant position in the capital markets has become a development trend.According to the classification of active and passive investment strategies,the number and net assets of passive stock funds are on the rise in both abroad developed capital markets and domestic capital markets.Therefore,from the perspective of passive institutional ownership,it is of great practical significance and keeping pace with the times to study the impact of passive institutional ownership on corporate information disclosure and stock price liquidity,and changes in corporate decision-making.Based on the reconstruction of the CSI300 index,this paper studies the impact of index ownership on management forecasting and stock liquidity.Since the increase of stock liquidity can reduce the cost of capital,we also examine the changes in capital investment and its economic externalities.Research contents and conclusions are as follows:Firstly,this paper takes to enter the CSI300 index companies as samples,uses BILS method to match the control group,and uses the extended slope DID models to test the impact of index fund ownership on managerial forecasting frequencies and liquidity,and the impact of managerial forecasting frequencies on the degree of information asymmetry and liquidity.The results show that there are two paths to influence stock liquidity: the first path is the increase of liquidity of non-information production,one standard deviation increase in index ownership leads to 9.37% standard deviation increase in stock liquidity;the second path is the increase of liquidity of information production,and one standard deviation increase in managerial forecasting frequencies leads to 1.55% standard deviation increase in stock liquidity.Unfortunately,it is not found that the index fund ownership with an average shareholding of 0.507% has a significant statistical impact on the managerial forecasting frequencies,and the increase in the managerial forecasting frequencies is mainly due to the “inclusion” effects of entering the CSI300 Index.Secondly,it is found that after the announcement of entering the CSI300 index,the cumulative abnormal returns reversed positively in the short term,while in the long term declined continuely.Besides ex ante return momentum,ex post the increase of liquidity and the decrease of information asymmetry are also two important factors.Thirdly,it is further found that companies do increase their capital investment after entering the CSI300 index.The double difference value of the mean horizontal capital expenditure is positive and significant.After the standardization of total assets at the end of last year,the double difference value is also positive and significant.Fourthly,under the background of the CSI300 index reconstruction,this paper uses structural model and instrumental variable method to study the peer effects of capital investment of industry peer companies.It is found that the following companies have a learning effect on the capital investment of the leader companies.One standard deviation capital investment of the leading companies leads to 73.37% standard deviation increase in the capital investment of the following companies.When we replace the leading companies,we find no significant impact,but the corresponding leading companies still have a significant impact on the capital investment of the following companies,which shows that there is no substitution for the learning direction of the following companies,and the results of our main regression are robust.Fifthly,we also examine the mechanisms of learning effects: information-based imitation theory and competition-based imitation theory,and find that both of them have been at work.The results show that the worse the information environments,the stronger the influence of capital investment behavior of the leading companies on the following companies,because the ambiguous and uncertain information environments are the greatest motive of imitation,so the results conform to the information-based theory.When we control the dynamic company number of industries,we find that the capital investment behavior of leading companies with higher industry concentration has stronger influence on following companies.Because following companies and leading companies in the same industry have similar market value,comparable resources and location,so the results are in line with the competition-based theory.Sixthly,in the heterogeneous analysis,we find that the following companies with lower growth rate of sales revenue,lower dependence on external financing and higher stock price liquidity respond strongly to the capital investment behavior of the leading companies.This also shows that the uncertainty of the industry development prospect and the capital cost are two potential determinants of whether the following companies actively imitate the leading companies' capital investment behavior.To sum up,the liquidity increase of non-information production and information production are two paths to increase market liquidity.From the perspective of improving corporate governance quality,increasing voluntary information disclosure levels and improving information environments,the second path is also an effective way to establish an efficient and perfectly competitive capital markets.It is also conducive to restraining imitation behavior among industry groups because of incomplete information.In highly uncertain environments,imitation may magnify the errors of early drivers,lead to a greater negative impact on the company or society.Managers and policy makers need to understand why imitative behaviors occur,when harmful effects occur,avoid herding,avoid speculative bubbles and waste resources,and give full play to the positive economic externalities of imitation behavior.