社保基金及其受托管理人共同持股对股票收益的影响研究

s a social security fund of the National Reserve Fund, its entrusted investment method has gradually become the mainstream. When the social security fund trustee operats of the social security fund , he had the behavior of sharing his own portfolio with the social security fund portfolio. This paper explores this kind of investment behavior . The research idea of this paper is as follows: Firstly, compared the return rate of the individual and jointly shareholding portfolio, and then through empirical analysis, verifying whether the joint shareholding behavior has an impact on individual stock returns, and tests the impact mechanism of heterogeneous beliefs and information superiority. The research in this paper shows that: (1) The jointly shareholding portfolio by the social security fund and its trustee has a higher cumulative original rate of return and excess return than the individual shareholding portfolio.(2) The empirical test shows that the joint shareholding behavior has the ability to explain the original return rate and excess return rate , and the conclusion is robust; (3) The joint shareholding behavior enhances the stock heterogeneity belief and thus increases the stock return rate, but the rise of the joint stock return rate does not come from the fact that it has more private information.