The Effect of Institution Investor on Risk Allocation

在美国和日本等发达国家的股票市场上，机构投资者的持股比例正在快速增长。本文假设与个人投资者直接持有股票相比，机构投资者可以提高风险配置效率，并对这一假设进行了理论和实证研究，结果发现，在一个非效率的资本市场中，机构投资者通过先集中风险再将风险分配给原始个人投资者的方式来降低非系统风险。这一事实可能导致了近几十年来股权溢价的下降趋势。机构投资者与IPO公司承销商在降低上市公司风险的同时，也在一定程度上降低了IPO公司的事后波动性。

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.