明星分析师、市场过度反应与股价同步性
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| Title | Star Aanalyst coverage, market over-reaction and stock price synchronicity
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| 作者 | 周铭山 许年行 林靓 张桥云 |
| Author | Zhou mingshan, Xu nianhang, Lin jin, Zhang qiaoyun |
| 作者单位 | 西南财经大学金融学院，中国人民大学 |
| Organization | Southwestern University of Economics and Finance；, Renmin University of China |
| 作者Email | zhoumingshan@swufe.edu.cn，zhang888@swufe.edu.cn ；nhxu@ruc.edu.cn；clarence.lin@yahoo.com |
| 中文关键词 | 明星分析师 过度反应 股价同步性 |
| Key Words | Star Aanalyst; Market Ooverreaction; Stock Pprice Ssynchronicity |
| 内容提要 | 本文使用《新财富》以及“今日投资”分析师排名的数据，研究明星分析师对股价同步性的影响及其作用机制。研究发现：（1）在不区分明星非明星时，分析师行为总体上提高了股价同步性，没有促进公司层面信息的传递，但对于包含了明星分析师跟踪的样本，分析师（包含明星分析师）行为降低了股价同步性，明星分析师对于非明星分析师报告存在替代作用；（2）明星分析师跟踪人数越多的公司，其在短期具有更强的动量效应，在中长期具有更强的反转效应，而且在短期、中期和长期里都有更高的异常成交额；（3）在信息不确定性程度高的公司，明星分析师的报告引起的市场过度反应更强；（4）对于明星分析师跟踪人数越多、R2越小的公司，市场过度反应也越强，说明明星分析师降低股价同步性的机制与市场过度反应有关。本文的研究发现对于认识分析师在我国证券市场中的作用以及股价同步性的生成机理具有重要理论与现实意义。 |
| Abstract | This paper uses the data on analyst ranking from New Fortune and Today’s Investor to analyze the impact of star analysts on stock price synchronicity and its mechanism. We find, firstly, without differentiating star and non-star analyst, analyst coverage, as a whole, raises stock price synchronicity measured by R-square, which indicates that analysts do not help to impart firm-specific information into the market. For companies covered by star analysts, analysts (including star analysts) lower stock price synchronicity, which indicates that there is a substitution effect between star analyst coverage and non-star analyst coverage. Secondly, the more star analyst coverage, the stronger short-term momentum and long-term reversal its stock price shows, and the bigger abnormal trading volume in the short, medium and long run. Thirdly, companies which have a higher degree of information asymmetry show even stronger market overreaction to star analyst coverage. Fourthly, for companies which have more analyst coverage and lower R-square, market over-reaction to star analysts’ coverage is even stronger, which indicates the mechanism star analysts lower stock price synchronicity is related to market over-reaction. These findings are useful for understanding the roles analysts played in emerging market and the mechanism through which stock price synchronicity is linked to analysts’ coverage. |
| 文章编号 | WP320 |
| 登载时间 | 2012-08-06 |
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