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本文以2008年发生的震惊全国的三鹿奶粉事件为背景,主要研究社会规范改变是否对证券市场机构投资者行为产生影响。检验证据表明,三鹿奶粉事件发生后,机构投资者在持有食品类上市公司股票时更多地考虑到了这类公司股票的风险与收益因素。公司规模和公司成立年限成为保证证券市场机构投资者收益的最重要因素。机构投资者在股票估值上更为关注食品类行业上市公司所能够给股东带来的回报。检验结果同时还表明,三鹿奶粉事件发生后,食品类行业中社会规范的改变已经引起证券市场机构投资者在食品类行业上市公司的持股比例、食品类上市公司的股票收益以及食品类上市公司股票估值上的结构性改变。研究结果说明社会规范对机构投资者行为具有相当程度的影响。本文的研究以我国的数据为基础,对Hong和Kacperczyk(2009)等关于社会学和证券市场关系的最新研究进行了检验和拓展。
Taking the Sanlu milk powder incident which shocked the whole country in 2008 as the background, this paper mainly studies whether the impact of social norm change on the behavior of institutional investor in securities market. Test evidence shows that after the Sanlu milk powder incident, institutional investors took more into account the risk and return factors of such companies when holding stocks of food listed companies. The size of the company and the age of the company became the most important factor in ensuring the return to institutional investors in the securities market. Institutional investors are more concerned with the valuation of stocks in the food industry listed companies can give shareholders return. The test results also show that the Sanlu milk powder incident, the social norms in the food industry changes have led to institutional investors in the securities market shareholdings in listed companies in the food industry, food companies listed on the stock returns and food listed Structural changes in the valuation of the company’s stock. The results show that social norms have a considerable impact on the behavior of institutional investors. Based on our data, this study examines and expands on the latest research on the relationship between sociology and securities markets, such as Hong and Kacperczyk (2009).