Study On The Impact Of Position-Building Of Institutional Investors On The Estimation Of ? Coefficient

The core parameter of CAPM model is ? coefficient,which is used to reflect the sensitivity of single asset or portfolio rate of return to the average rate of return.It can also reflect the volatility of the stock price of a single company relative to the whole stock market.? coefficient is also called system risk index.At present,the ? coefficient has been separated from CAPM model to some extent,which is used to measure the sensitivity of a stock relative to the market.? coefficient is the slope of securities characteristic line,which has time-varying characteristics.All factors affecting the slope will affect ? coefficient.At present,the research on ? coefficient influencing factors is often focused on fundamental factors,such as macro-economic factors,basic characteristics of companies,industry categories of companies and the economic sectors they belong to,and less from the perspective of trading factors.As for trading factors,institutional investors hold huge amount of funds,which are often used for bulk trading.Therefore,compared with individual investors,institutional investors have stronger market power,which will affect the fluctuation of stock price,and then affect the ? coefficient.Therefore,it is of great significance to study the influence of institutional investors' trading behavior on ? coefficient.In the design of empirical research,first,the three models in this paper are all quarterly data,which is considered that according to the regulatory standards of listed companies,listed companies and relevant institutions will publish financial data and institutional traders' trading data on a quarterly basis;second,for model one,in addition to quarterly data,in the robustness test,the paper also uses the annual data,so as to verify the impact of institutional investors' position building on the ? coefficient.This paper finds that institutional investor's position building behavior is inversely proportional to ? coefficient,and the longer the time span is,the smaller the influence will be;institutional investor's position building behavior will also affect the regression intercept(?)and regression residual(e)of securities characteristic line,and the position building behavior is directly proportional to ? and inversely proportional to e.The research framework of this paper is divided into the following five parts: the first part is the introduction,which first analyzes the research background,leads to the problems to be studied in this paper,and then discusses the theoretical and practical significance of this research.? coefficient has important practical value in such aspects as capital budget analysis,capital cost estimation,investment decision-making,etc.,so it is studied from the perspective of institutional investors' position building This part also defines the related concepts involved in this paper,and points out the research methods,framework and innovation.The second part is literature review,which mainly includes the following contents: the characteristics and influencing factors of ? coefficient,the market power of institutional investors,the behavior of institutional investors to build positions and the impact of this behavior on stock returns.The last part is literature review.Through the research,? coefficient has time-varying,and there are few researches on the influence of market factors on ? coefficient at present,and institutional investors have market power,which will have an impact on stock price volatility,and then affect the ? coefficient.The third part is related theory analysis,mainly including ? coefficient theory,single index model theory,cost analysis and related theory review of institutional investors.The fourth part is an important empirical analysis part.Model one is used to test hypothesis one,that is,institutional investors' position building behavior will affect the regression slope of securities characteristic line(? coefficient),and the position building behavior is inversely proportional to ? coefficient.The sample range includes the quarterly data of Shanghai and Shenzhen 300 index components from 2015 to 2019.Model two uses the quarter of Shanghai and Shenzhen 300 index components from 2015 to 2019 The second hypothesis is that the institutional investor's position building behavior will affect the regression intercept(?)of the securities characteristic line,and it is in direct proportion to ?;the third hypothesis is that the institutional investor's position building behavior will affect the regression residual(e)of the securities characteristic line,and it is inversely proportional to e.The test process uses statistical methods,including descriptive statistics,correlation analysis,regression analysis and robustness test.The fifth part is the research conclusion,policy recommendations and research prospects.Through the analysis of the results,some policy recommendations are put forward.Based on the analysis of the limitations of this study,the future research prospects are put forward.