证券分析师关注与投资-股价敏感性

黄宇漩, 杨胜刚, 陈收, 朱琦

系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (4) : 1022-1043.

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系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (4) : 1022-1043. DOI: 10.12011/SETP2021-2871
论文

证券分析师关注与投资-股价敏感性

    黄宇漩1, 杨胜刚1, 陈收1, 朱琦2
作者信息 +

Security analyst concerns and investment-price sensitivity

    HUANG Yuxuan1, YANG Shenggang1, CHEN Shou1, ZHU Qi2
Author information +
文章历史 +

摘要

在金融支持实体经济的重要背景下, 证券分析师在资本市场上的角色定位具有重要的研究价值. 本文通过研究证券分析师关注对投资-股价敏感性的影响, 重点回答两个问题:分析师关注如何影响股价信息, 以及是否会影响管理层决策. 基于 2001–2019 年中国 A 股上市公司的数据, 通过检验分析师关注对投资-股价敏感性的影响, 本文发现分析师关注能够强化股价反馈效应. 同时, 本文发现信息渠道是分析师关注对投资-股价敏感性的作用机制, 即分析师信息通过影响知情者的交易决策, 提高股价中的私人信息含量, 导致投资-股价敏感性的增强. 基于行业与公司的异质性, 本文进一步发现在信息需求较强的公司中, 管理层的学习动机会强化分析师关注的作用. 本文的研究发现为拓展股价信息的形成与传播机制提供了现实证据, 同时为监管机构规范分析师行为与提高市场定价效率提供了政策参考.

Abstract

Under the background of financial sector supporting on the real economy, how the security analysts play a role in capital market is an important and value research. In this paper, we investigate the effect of security analyst concerns on the investment-price sensitivity to answer two questions, as follows: One is how analyst concerns affect price informativeness, the other is whether analyst concerns affect managerial decision making. Basing on the data from Chinese A-share listed firms from 2001 to 2019, we find that analyst concerns would improve price feedback effect. Meanwhile, we find that information channel is the mechanism of the effect of analyst concerns on investment-price sensitivity. Analysts' information increases the private information of price by affecting informed traders' trades, thus improving investment-price sensitivity. Then, basing on the heterogeneity of the industry and the firm, we further find managerial learning motivation strengthens the role of security analyst concerns in firms with strong demand for information. Our findings provide the evidence for expanding the formation and dissemination mechanism of price information, and provide the policy reference for regulators to regulate analysts' behavior and improve market pricing efficiency.

关键词

证券分析师 / 股价反馈效应 / 股价信息 / 公司治理

Key words

security analyst / price feedback effect / price informativeness / corporate governance

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黄宇漩 , 杨胜刚 , 陈收 , 朱琦. 证券分析师关注与投资-股价敏感性. 系统工程理论与实践, 2023, 43(4): 1022-1043 https://doi.org/10.12011/SETP2021-2871
HUANG Yuxuan , YANG Shenggang , CHEN Shou , ZHU Qi. Security analyst concerns and investment-price sensitivity. Systems Engineering - Theory & Practice, 2023, 43(4): 1022-1043 https://doi.org/10.12011/SETP2021-2871
中图分类号： F830    F275   

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基金

国家自然科学基金青年项目(72003200)；湖南省自然科学基金青年项目(2021JJ40802)；国家社科基金重大项目(19ZDA103)；国家自然科学基金重大项目(71790593)
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