利益冲突、声誉激励与股价发现有效性
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| Title | Interest Conflicts, Reputational Effects and Stock Price Efficiency
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| 作者 | 周铭山 李四光 林靓 |
| Author | Zhou Mingshan Li Siguang and Lin Jing |
| 作者单位 | 西南财经大学金融学院 |
| Organization | University of Finance and Economics |
| 作者Email | zhoumingshan@swufe.edu.cn, sandy2009@pku.edu.cn,linjing729@163.comSouthwestern |
| 中文关键词 | 关联分析师 利益冲突 声誉激励 股价发现有效性 |
| Key Words | Affiliated Advisor; Incentive Conflicts; Reputational Incentive; Stock Price Efficiency |
| 内容提要 | 本文构建了一个两期股票推荐模型，解析分析师的利益冲突、激励类型异质性和非对称信息三者相互作用并影响股价发现有效性的作用机制。分析结果表明：关联分析师方的“激励扭曲效应”源于其受“非中性激励”驱使所引致的选择性分析报告发布方式；独立分析师方的“声誉激励效应”源于其受“身份识别”困扰而使用的策略性信息传递行为；激励扭曲效应、声誉激励效应与价值投资者的“解读疑虑”共同导致信息供给效率受损和股票市场有效性的下降；这一作用机制并不依赖于非策略性市场参与者假设；常见的分级报告系统有助于降低跨期效率损失。这些结论为完善分析师薪酬考核机制、强化特定时点信息披露、建立长效追踪制度和引入适当的长期责任承担制度提供了理论支撑。 |
| Abstract | This paper constructs a two-period model of stock recommendations to investigate the mechanism how the interaction between analysts’ interest conflicts, incentive type heterogeneity and asymmetric information influences the information quality and stock price efficiency. The results show that due to non-neutral incentive and reputational concerns regarding “identification problems”, strategic reporting behavior will arise for both affiliated and independent analysts respectively. Analysts’ strategic reporting driven by distortion effects and reputational effects together with receiver skeptism from investors will lead to deteriorated information quality and excessive stock price volatility. Our results are independent of the non-strategic player assumption, and we also find that categorical ranking systems will help to reduce stock market volatility. These results provide theoretical supports for policies such as improving analyst’ compensation incentive system, strengthening information disclosure, establishing long-term tracking system and appropriate accountability system. |
| 文章编号 | WP567 |
| 登载时间 | 2013-11-28 |
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