最终控制人投资组合集中度、股票投资回报与对冲策略

doi:10.12094/1002-7246（2017）08-0145-16

Journal of Financial Research

2017, Vol. 446

Issue (8): 145-160 DOI: 10.12094/1002-7246（2017）08-0145-16

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Ultimate Controller Portfolio Concentration, Stock Returns and Hedge Strategy

LI Qingyuan, HUANG Wei, WANG Hongjian

School of Economics and Management, Wuhan University

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Abstract This paper explores the relationship between the portfolio concentration of ultimate controller and future stock returns of Listed Companies, by examining the 2009-2015 China A-share listed companies’ data, this paper finds that the higher the ultimate controllers portfolio concentration is, the higher future stock returns of the listed companies. The result shows that, in the study to find the mechanism, the company whose the ultimate controller has high portfolio concentration has the better future performance, the higher quality of internal control and the lower agency cost. By improving the ultimate controller portfolio concentration, the value of the company is enhanced. Based on these conclusions, this study builds a hedge strategy by the portfolio concentration, buying the companies whose ultimate controller with high portfolio concentration, in the sale of the companies whose ultimate controller with low portfolio concentration. The results showed that the hedge strategy can get significant excess returns in short and long term. This shows that investors in China's stock market have not fully internalized the information of ultimate controller portfolio concentration. In the following inspection, we find that the hedge strategy is more effective in the firms with indirect control than those with direct control, the hedge strategy is more effective in the firms with low information transparency than those with high information transparency.

Key words： Ultimate Controller Portfolio Concentration Stock Returns Hedge Strategy

Received: 17 March 2017 Published: 18 January 2018

JEL分类号:	M41
	G11
	L22

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LI Qingyuan,HUANG Wei,WANG Hongjian. Ultimate Controller Portfolio Concentration, Stock Returns and Hedge Strategy[J]. Journal of Financial Research, 2017, 446(8): 145-160.

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http://www.jryj.org.cn/EN/10.12094/1002-7246（2017）08-0145-16 OR http://www.jryj.org.cn/EN/Y2017/V446/I8/145

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