The Effect of Institution Investor on Risk Allocation

在美国、日本等发达国家的股市中，机构投资者持有的股票比例正在迅速上升。本文假设与个人投资者直接持股相比，机构投资者可以提高风险分配效率，并对这一假设进行理论和实证研究。因此，我发现在一个低效的资本市场中，机构投资者通过先集中风险再分配给原有的个人投资者来降低非系统风险。这可能是近几十年来股票溢价呈下降趋势的原因之一。除了降低上市公司风险的作用外，机构投资者与IPO承销商也可以在一定程度上降低IPO公司的事后波动。

In the stock markets of developed countries such as U.S. and Japan, the ratio of shares held by institutional investors is growing rapidly. In this study, it is hypothesized that compared to the case shares are directly held by individual investors, institution investors could improve the efficiency of risk allocation and then this hypothesis is studied theoretically and empirically.As a result, I find that in an inefficient capital market, institution investors decrease unsystematic risks by pooling the risks first and then allocating them to the original individual investors. This fact may contribute to the decreasing trend of equity premium in recent decades. Besides the role of decreasing the risks of listed firms, institution investors along with the underwriters of IPO firms can also decrease the afterwards volatilities of IPO firms in some extent.