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　　Title：Institutional Investor Cliques and Stock Price Efficiency　

　　Schedule: Nov 4, TH 12:00-1:00 PM

　　Location: Rm 315, Chengming Hall (诚明楼)

　　Abstract：In this paper we investigate the effects of institutional investor coordination on stock price efficiency. We identify institutional investor cliques using Louvain algorithm from a large institutional investors network, and find that the trading of clique members is highly correlated, suggesting the existence of coordination. We then find that a higher institutional investor ownership tends to slow down the incorporation of information into stock prices, and also increase the idiosyncratic risk of the stocks. Further analyses provide evidence to support our conjecture that institutional investor cliques incorporate more noise into stock price. These findings suggest that institutional investor cliques impede stock price efficiency. Last, we find that clique members trade less aggressively in good markets to take the information advantage for a longer time, but sell the stock more aggressively in bad markets, which may increase the stock price crash risk.

题目：机构投资者抱团与股价效率　

摘要：本文研究了机构投资者协调对股价效率的影响。我们使用Louvain算法从大型机构投资者网络中识别机构投资者组团，发现抱团成员的交易高度相关，存在协调。然后我们发现，较高的机构投资者所有权往往会减慢信息对股票价格的整合，同时也会增加股票的特殊风险。进一步的分析为我们的推测提供了证据，即机构投资者抱团将更多的噪音纳入股价。这些发现表明，机构投资者抱团阻碍了股价效率。最后，我们发现抱团成员在良好的市场中不那么激进地交易以更长时间地利用信息优势，但在糟糕的市场中更激进地出售股票，这可能会增加股价崩盘的风险。

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