Research On The Influence Of Co-holding Of Social Indemnification Fund And Its Trustee's Private Funds

As a reserve fund for social indemnification,the social indemnification fund has reached a management scale of 2.22 trillion at the end of 2017,and the entrusted investment method is gradually becoming the mainstream.When investing in the social indemnification fund portfolio,the social indemnification fund and its trustee jointly held shares.This paper pioneered studied this joint shareholding behavior.This paper's ideas are mainly as follows: Firstly,this paper describes the characteristics of the joint shareholding behavior and jointly held stocks.And then further analysis the return of the jointly held stocks.After that,this paper analysis the influence mechanism of the social indemnification fund and its trustee's joint shareholding behavior on the stock return rate from the heterogeneous belief asset pricing model and the information superiority theory.Finally,through empirical analysis,it is verified whether the joint shareholding behavior has an impact on individual stock returns,and tests the impact mechanism of heterogeneous beliefs and information superiority.The research in this paper shows that:(1)The stock portfolio with jointly held by the social indemnification fund and its trustee has a higher cumulative original rate and excess return rate than its individual shareholding portfolio;(2)The empirical test shows that the joint shareholding behavior has the ability to interpret the original return rate and excess return rate of individual stocks,and the conclusion is robust;(3)The joint shareholding behavior enhances the stock heterogeneity belief and thus increases the stock return rate,but the rise of the joint stock return rate does not come from the fact that it has more private information.Based on the above researches,this paper proposes some relevant policy suggestions,such as " Gradually liberalizng short selling restrictions,improving stock market pricing efficiency","improving information disclosure mechanism,reducing investor heterogeneous beliefs","optimizing social indemnification fund assessment mechanism,cultivating long-term stable investment style" and "improving listed companies,establishing a multi-level capital market system”.