机构投资者股票推荐的市场效应研究
发布时间：2018-07-29 20:33
【摘要】：随着证券市场的逐渐完善,机构投资者现已在资本市场占据主导地位。作为会计信息的搜集和处理专家,机构投资者充当着上市公司和投资者之间的媒介,他们能够依据综合的公司会计和财务信息进行股票价值判断,进而向投资者发布有效的荐股信息,引导普通投资者进行投资。科学客观的荐股信息有利于市场价格机制的运转和资源配置功能的实现,而机构投资者推荐的股票是否科学客观,需要从其推荐股票的市场效应来进行考察。 本文以《证券之星》“机构投资者首次关注”栏目发表的7634条荐股信息为研究对象,对机构投资者荐股的市场效应进行了实证研究。本文首先采用描述性统计分析发现：我国机构投资者荐股时倾向于作出乐观性预测并给出买入、增持等积极意见；此外,机构投资者荐股还存在羊群行为,由此导致市场上大量荐股信息的趋同。接着又通过事件研究分析发现：机构投资者推荐的股票在推荐当周和前几周都存在显著的正的平均超额收益率,但在推荐信息公布后却无显著的平均超额收益率甚至还出现负值,这就表明机构投资者荐股存在短视行为,推荐的股票只在短期内具有超额收益。最后进行回归分析后发现：机构投资者推荐的股票在推荐信息公布当周的超额收益率与机构投资者作出的评级意见积极程度正相关；而公司每股收益作为公司盈利信息对推荐当周超额收益率的影响的指标,并没有通过显著性检验。根据上述研究结论,本文提出通过加强政府引导、健全法律法规、完善会计信息披露机制和提高机构投资者执业素质等政策建议,以期改善我国机构投资者推荐股票的市场效应。
[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.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F830.42
本文编号：2153932
[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.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F830.42
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