發(fā)布時間：2018-07-29 20:33

【摘要】：隨著證券市場的逐漸完善,機構(gòu)投資者現(xiàn)已在資本市場占據(jù)主導(dǎo)地位。作為會計信息的搜集和處理專家,機構(gòu)投資者充當(dāng)著上市公司和投資者之間的媒介,他們能夠依據(jù)綜合的公司會計和財務(wù)信息進行股票價值判斷,進而向投資者發(fā)布有效的薦股信息,引導(dǎo)普通投資者進行投資�？茖W(xué)客觀的薦股信息有利于市場價格機制的運轉(zhuǎn)和資源配置功能的實現(xiàn),而機構(gòu)投資者推薦的股票是否科學(xué)客觀,需要從其推薦股票的市場效應(yīng)來進行考察。 本文以《證券之星》“機構(gòu)投資者首次關(guān)注”欄目發(fā)表的7634條薦股信息為研究對象,對機構(gòu)投資者薦股的市場效應(yīng)進行了實證研究。本文首先采用描述性統(tǒng)計分析發(fā)現(xiàn)：我國機構(gòu)投資者薦股時傾向于作出樂觀性預(yù)測并給出買入、增持等積極意見；此外,機構(gòu)投資者薦股還存在羊群行為,由此導(dǎo)致市場上大量薦股信息的趨同。接著又通過事件研究分析發(fā)現(xiàn)：機構(gòu)投資者推薦的股票在推薦當(dāng)周和前幾周都存在顯著的正的平均超額收益率,但在推薦信息公布后卻無顯著的平均超額收益率甚至還出現(xiàn)負值,這就表明機構(gòu)投資者薦股存在短視行為,推薦的股票只在短期內(nèi)具有超額收益。最后進行回歸分析后發(fā)現(xiàn)：機構(gòu)投資者推薦的股票在推薦信息公布當(dāng)周的超額收益率與機構(gòu)投資者作出的評級意見積極程度正相關(guān)；而公司每股收益作為公司盈利信息對推薦當(dāng)周超額收益率的影響的指標(biāo),并沒有通過顯著性檢驗。根據(jù)上述研究結(jié)論,本文提出通過加強政府引導(dǎo)、健全法律法規(guī)、完善會計信息披露機制和提高機構(gòu)投資者執(zhí)業(yè)素質(zhì)等政策建議,以期改善我國機構(gòu)投資者推薦股票的市場效應(yīng)。
[Abstract]:With the gradual improvement of the securities market, institutional investors are now dominant in the capital market. As an expert in the collection and processing of accounting information, institutional investors act as a medium between listed companies and investors. They can make stock value judgments based on comprehensive corporate accounting and financial information, and then release them to investors. The scientific and objective recommendation information is beneficial to the operation of the market price mechanism and the realization of the function of resource allocation, and the scientific objective of the stock recommended by institutional investors should be examined from the market effect of the recommendation of the stock.
In this paper, we take the 7634 recommendation shares published by the "Securities Star" "the first concern of institutional investors" as the research object, and make an empirical study on the market effect of institutional investors' recommendation. Firstly, this paper uses descriptive statistical analysis to find that the institutional investors in our country tend to make an optimistic prediction and give a buying and increasing holding. In addition, there are herding behavior of institutional investors, which leads to the convergence of a large number of stock information in the market. Then through the analysis of the event, it is found that there is a significant positive average excess rate of return recommended by institutional investors in the week and the previous weeks, but it is not obvious after the recommendation information is published. The average excess rate of return is even negative, which indicates that institutional investors have shortsightedness, and the recommended stocks only have excess returns in the short term. The positive degree is positively correlated, and the earnings per share of the company, as the index of the effect of the company's earnings information on the recommended weekly excess returns, has not passed the significant test. According to the above conclusions, this paper proposes to strengthen the government guidance, improve the laws and regulations, improve the disclosure mechanism of accounting information and improve the quality of institutional investors. And other policy recommendations in order to improve the market effect of Chinese institutional investors' recommended stocks.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F830.42

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本文編號：2153932