中文摘要：

本文探究了最终控制人投资组合集中度对上市公司未来股票投资回报的影响，通过检验2009-2015年中国A股上市公司的相关数据，发现最终控制人投资组合集中度越高，上市公司未来股票投资回报越高。进一步探究其影响机制，结果显示最终控制人投资组合集中度高的企业，未来的公司业绩越好、内控质量越高、代理成本越低，即提高最终控制人投资组合集中度有利于提升公司价值。基于以上结论，本文利用最终控制人投资组合集中度构建了一个对冲策略，即买入最终控制人投资组合集中度高的公司，卖出最终控制人投资组合集中度低的公司，结果显示该对冲策略在短期与长期都可以获得显著为正的股票投资超额回报。这说明中国证券市场的投资者并没有完全理解最终控制人投资组合集中度所包含的信息。后续检验中，我们还发现最终控制人间接控制的公司比直接控制的公司对冲策略的有效性更强，信息透明度低的公司比信息透明度高的公司对冲策略的有效性更强。

英文摘要：

This paper explores the relationship between the portfolio concentration of ultimate controller and future stock returns of Listed Companies, by examining the 2009 - 2015 China A - share listed companies＇ data, this paper finds that the higher the ultimate controllers portfolio concentration is, the higher future stock returns of the listed companies. The result shows that, in the study to find the mechanism, the company whose the ultimate controller has high portfolio concentration has the better future performance, the higher quality of internal control and the lower agency cost. By improving the ultimate controller portfolio concentration, the value of the company is enhanced. Based on these conclusions, this study builds a hedge strategy by the portfolio concentration, buying the companies whose ultimate controller with high portfolio concentration, in the sale of the companies whose ultimate controller with low portfolio concentration. The results showed that the hedge strategy can get significant excess returns in short and long term. This shows that investors in China~ stock market have not fully internalized the information of ultimate controller portfolio concentration. In the following inspection, we find that the hedge strategy is more effective in the firms with indirect control than those with direct control, the hedge strategy is more effective in the firms with low information transparency than those with high information transparency.