当“强烈推荐”邂逅“融资融券”-券商分析师利益冲突的新视角及投资策略

发布时间：2018-01-21 23:01

本文关键词： 推荐评级融资融券两融余额激励机制反向指标　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：转型压力之下,快速发展的融资融券业务成为券商寻找新利润增长点的重要突破。而券商分析师做出推荐评级时是否会受到融资融券因素的影响?前人对此尚无研究。本文发现分析师对第一批两融标的推荐评级收益率在其可以两融前后的差异,与后两批标的存在显著差别。实证研究证实了分析师推荐评级与融资融券之间存在两种相反的激励机制：对于两融余额占比高的股票进行推荐时罔顾客观性,以期快速提升本券商融资融券净利息收入的增长；对新入标的进行推荐时却兼顾客观性,以博取客户信赖为新标的两融业务在激烈竞争中的发展赢取相对有利的地位。二者随着个股融资融券余额市场份额的变化此消彼长,并分别在不同批次的可两融股票上得以体现。在此基础上,本文以“同期看多第一批两融股票的分析师人数”作为反向指标,构建了基于事前判断行情进而决定做多或者做空的投资策略。该策略无论相对收益还是绝对收益,不管是否考虑交易成本,均十分显著。
[Abstract]:Under the pressure of transformation, the rapid development of margin and margin business has become an important breakthrough for securities companies to find new profit growth points. And whether securities analysts will be affected by margin financing factors when they make recommendations? There is no previous research on this. This paper finds the difference between the recommended rating returns of the first two financial targets before and after they can be combined. There are significant differences between the latter two groups of targets. Empirical studies confirm that there are two opposite incentive mechanisms between the analyst recommendation rating and margin margin financing: the recommendation of stocks with high ratio of two financial balances ignore objectivity. With a view to rapidly improving the securities margin margin net interest income growth; When recommending a new target, it takes objectivity into account. In order to gain customer trust as the new target of the development of the two financial business in the fierce competition to win a relatively favorable position. Both with the stock margin balance market share changes one after another. On the basis of this, this paper takes "the number of analysts who are looking at the first batch of stocks" as the reverse index. An investment strategy based on prior judgment and decision to be long or short is constructed. This strategy is significant regardless of relative return or absolute return, regardless of whether transaction costs are considered or not.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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