基金重倉對分析師行為的影響及其經濟后果
發(fā)布時間：2018-07-25 16:59
【摘要】：隨著中國資本市場的迅速發(fā)展,作為證券市場的信息中介,證券分析師(以下簡稱分析師)發(fā)揮著越來越重要的作用。分析師對信息的搜集、加工和傳遞,降低了資本市場的信息不對稱程度,提高了資源配置效率。證券投資基金(以下簡稱基金)是資本市場的重要參與者,也是分析師服務的主要機構客戶。基金在消費分析師服務的同時,其證券投資行為是否會對分析師的行為造成影響是會計與資本市場的研究熱點之一。本文結合中國制度背景,通過實證分析的方法研究了基金重倉對分析師行為的影響及其經濟后果,完善了我國分析師行為的文獻。 本文首先基于信息供給理論,研究基金重倉對分析師跟蹤行為的影響。具體從分析師信息獲取角度,檢驗了相對于非基金重倉股,分析師是否增加了對基金重倉股實地訪談的可能性；從分析師信息傳遞的角度,檢驗了分析師對基金重倉股和非基金重倉股在跟蹤數量和發(fā)布研究報告數量上的差異。在此基礎上,進一步檢驗了分析師對基金重倉股的跟蹤傳遞了更多關于公司特質信息還是市場信息。其次,本文基于利益沖突理論,研究基金重倉對分析師評級行為的影響。具體檢驗了分析師評級行為是否與基金重倉行為相一致；相對于非基金重倉股,分析師是否對基金重倉股的評級更樂觀,其評級樂觀程度是否隨著重倉基金數量的變化而變化。在此基礎上,本文采用長窗口的市場反應進一步檢驗基金重倉是否影響分析師的評級效率。 本文研究發(fā)現：一方面,基金對其重倉股的信息需求增加,促使分析師更加努力工作、增加信息供給。具體表現為：相對于非基金重倉股,分析師更可能對基金重倉股進行實地訪談,更多地跟蹤和發(fā)布研究報告,且分析師跟蹤和報告數量隨著股票重倉基金數量的增加而增加；更多的分析師跟蹤基金重倉股,降低股價同步性,提供了更多公司特質信息而非市場信息。另一方面,分析師及所在券商和基金存在千絲萬縷的聯(lián)系,導致分析師很難獨立于基金對其重倉股作出獨立公正的判斷,造成了分析師的利益沖突。具體表現為,當基金重倉買入股票時,分析師調高評級,當基金重倉賣出股票時,分析師調低評級。分析師對基金重倉股的評級相對非基金重倉股更樂觀。當基金重倉股的股價下跌,基金利益受損時,分析師更傾向于緘默不發(fā)布評級。相對于非基金重倉股,分析師對基金重倉股的投資評級回報更低。結果表明,分析師對基金重倉股的評級一定程度上損害了投資者的利益。 本文的研究貢獻主要有以下幾個方面：首先,本文結合中國的制度背景,以基金重倉來衡量基金行為,關注基金重倉對分析師行為的影響及其經濟后果,為研究分析師行為提供了一個新的切入點。其次,區(qū)別于以往文獻采用單一視角研究機構投資者對分析師行為的影響,本文基于信息需求供給理論和利益沖突理論,研究基金重倉對分析師行為的影響,更全面地考察了分析師行為。再次,作者提供了分析師信息獲取的直接證據——手工搜集分析師實地訪談數據,研究表明,基金重倉對分析師挖掘公司特質信息有促進作用；分析師提供更多公司特質信息降低了股價同步性,完善了分析師行為經濟后果文獻。最后,本文希望研究結論具有實踐啟示；對關注基金和分析師行為的投資者、監(jiān)管部門等相關主體具有參考價值。
[Abstract]:With the rapid development of China's capital market, as the information intermediary of the securities market, securities analysts (hereinafter referred to as analysts) play a more and more important role. Analysts' collection, processing and transmission of information have reduced the information asymmetry in the capital market and raised the efficiency of the allocation of resources. Gold) is an important participant in the capital market and the main institutional customer of the analyst service. It is one of the hot spots in the accounting and capital market that whether the investment behavior of the fund will affect the behavior of the analyst at the same time, while the fund is serving the consumer analyst. The impact of the fund's heavy position on analysts' behavior and its economic consequences have improved the literature of analysts' behavior in China.
Based on the information supply theory, this paper studies the impact of the heavy warehouse on the analyst's tracking behavior. From the perspective of the analyst's information acquisition, it examines whether analysts have increased the possibility of on-the-spot interview with the non fund stock. On the basis of the differences in the number of stocks and non fund stocks that follow the number of tracking numbers and the number of research reports, it is further tested that analysts' tracking of the heavy stock shares of the fund has passed more about the company's quality information or market information. Secondly, based on the theory of conflict of interest, this paper studies the impact of the heavy position of the fund on the rating behavior of analysts. Whether the rating behavior of the analyst is in accordance with the fund heavy warehouse behavior is tested, and whether the analyst is more optimistic about the rating of the fund heavy stock relative to the non fund stock stock, and whether the optimism of the rating changes with the change of the number of heavy warehouse funds. On this basis, this paper uses a long window market reaction to further test the fund. Whether a heavy warehouse affects the efficiency of an analyst's rating.
The study found that, on the one hand, the information demand of the fund is increased to promote the analyst to work harder and increase the information supply. With the increase in the number of heavy stock funds, more analysts follow the fund's heavy stock, reducing stock price synchronicity, providing more information about the company's characteristics rather than market information. On the other hand, analysts and the securities and funds are inextricably linked, causing analysts to be difficult to independent from the fund to its heavy stock. Analysts' ratings are higher when the fund is heavily in stock. Analysts lower their ratings when the fund sells stocks again. Analysts' ratings are more optimistic than non fund stocks. Analysts were more inclined to remain silent and not to publish ratings. Compared with non - Fund stocks, analysts had lower returns on the investment rating of the fund's heavy stock. The results showed that analysts' rating to the fund's heavy stock shares was to some extent damaging the interests of investors.
The contribution of this study mainly includes the following aspects: first, this paper, based on the institutional background of China, weighs the behavior of the fund, pays attention to the impact of the heavy warehouse on the behavior of analysts and its economic consequences, and provides a new entry point for the study of the behavior of analysts. Secondly, it is distinguished from the previous literature using a single perspective. The influence of institutional investors on the behavior of analysts is based on the theory of information demand supply and the theory of conflict of interest, the study of the impact of the heavy warehouse on the behavior of analysts and the more comprehensive investigation of the behavior of analysts. Thirdly, the author provides the direct evidence for the acquisition of analysts' information - manual collection of analysts' field interview data. It shows that the fund storehouse has a promoting effect on the analyst's idiosyncratic information; analysts provide more corporate trait information to reduce stock price synchronism and improve the economic consequences of analysts' behavioral consequences. Finally, this paper hopes that the conclusions have practical implications; investors concerned with the behavior of funds and analysts, regulatory departments and so on are related. The subject has reference value.
【學位授予單位】：復旦大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.51;F275
本文編號：2144460
[Abstract]:With the rapid development of China's capital market, as the information intermediary of the securities market, securities analysts (hereinafter referred to as analysts) play a more and more important role. Analysts' collection, processing and transmission of information have reduced the information asymmetry in the capital market and raised the efficiency of the allocation of resources. Gold) is an important participant in the capital market and the main institutional customer of the analyst service. It is one of the hot spots in the accounting and capital market that whether the investment behavior of the fund will affect the behavior of the analyst at the same time, while the fund is serving the consumer analyst. The impact of the fund's heavy position on analysts' behavior and its economic consequences have improved the literature of analysts' behavior in China.
Based on the information supply theory, this paper studies the impact of the heavy warehouse on the analyst's tracking behavior. From the perspective of the analyst's information acquisition, it examines whether analysts have increased the possibility of on-the-spot interview with the non fund stock. On the basis of the differences in the number of stocks and non fund stocks that follow the number of tracking numbers and the number of research reports, it is further tested that analysts' tracking of the heavy stock shares of the fund has passed more about the company's quality information or market information. Secondly, based on the theory of conflict of interest, this paper studies the impact of the heavy position of the fund on the rating behavior of analysts. Whether the rating behavior of the analyst is in accordance with the fund heavy warehouse behavior is tested, and whether the analyst is more optimistic about the rating of the fund heavy stock relative to the non fund stock stock, and whether the optimism of the rating changes with the change of the number of heavy warehouse funds. On this basis, this paper uses a long window market reaction to further test the fund. Whether a heavy warehouse affects the efficiency of an analyst's rating.
The study found that, on the one hand, the information demand of the fund is increased to promote the analyst to work harder and increase the information supply. With the increase in the number of heavy stock funds, more analysts follow the fund's heavy stock, reducing stock price synchronicity, providing more information about the company's characteristics rather than market information. On the other hand, analysts and the securities and funds are inextricably linked, causing analysts to be difficult to independent from the fund to its heavy stock. Analysts' ratings are higher when the fund is heavily in stock. Analysts lower their ratings when the fund sells stocks again. Analysts' ratings are more optimistic than non fund stocks. Analysts were more inclined to remain silent and not to publish ratings. Compared with non - Fund stocks, analysts had lower returns on the investment rating of the fund's heavy stock. The results showed that analysts' rating to the fund's heavy stock shares was to some extent damaging the interests of investors.
The contribution of this study mainly includes the following aspects: first, this paper, based on the institutional background of China, weighs the behavior of the fund, pays attention to the impact of the heavy warehouse on the behavior of analysts and its economic consequences, and provides a new entry point for the study of the behavior of analysts. Secondly, it is distinguished from the previous literature using a single perspective. The influence of institutional investors on the behavior of analysts is based on the theory of information demand supply and the theory of conflict of interest, the study of the impact of the heavy warehouse on the behavior of analysts and the more comprehensive investigation of the behavior of analysts. Thirdly, the author provides the direct evidence for the acquisition of analysts' information - manual collection of analysts' field interview data. It shows that the fund storehouse has a promoting effect on the analyst's idiosyncratic information; analysts provide more corporate trait information to reduce stock price synchronism and improve the economic consequences of analysts' behavioral consequences. Finally, this paper hopes that the conclusions have practical implications; investors concerned with the behavior of funds and analysts, regulatory departments and so on are related. The subject has reference value.
【學位授予單位】：復旦大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.51;F275
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