谁领先发布:中国证券分析师领先—跟随影响因素的实证研究

发布时间：2018-08-02 16:14

【摘要】：本文利用中国A股分析师报告数据,实证考察分析师特性、所属机构和竞争环境对分析师预测发布领先—跟随行为的影响。结果表明,分析师特性及所属机构对发布领先度具显著影响。在跟进股票具有更长研究经历、更高的历史领先度、具有更长一般研究经历以及所属机构年度发布报告数越多的分析师,其发布领先度更大;而具有明星荣誉、其它股票上更高历史领先度的分析师,其发布领先度更小;分析师跟进股票的数量具有对发布领先度的间接正向溢出效应影响。竞争环境对发布领先度也具显著影响。目标股票跟进分析师数越多,发布领先度越大;评级标准差代表的信息差异则同时具有对发布领先度负向风险效应和正向机会效应的影响。这些结果即表明影响分析师领先发布的因素在中国具有与西方市场不同的表现,也为领先或跟随发布时间决策的内生性观点提供支持。
[Abstract]:Based on the data of China A-share analysts' report, this paper empirically examines the influence of analyst characteristics, institutions and competitive environment on the leader-follower behavior of analysts' forecast release. The results show that the characteristics of analysts and their agencies have a significant impact on the release lead. Analysts who have longer research experience, higher historical lead, longer general research experience and more annual reports from their agencies have greater lead in following stocks, and have celebrity honors. Analysts with a higher historical lead in other stocks had a smaller lead; the number of stocks followed had an indirect positive spillover effect on the lead. The competitive environment also has a significant impact on the release lead. The more analysts follow the target stocks, the bigger the release lead; the difference of information represented by the standard deviation of rating has both negative risk effect and positive opportunity effect. The results show that the factors that influence analysts' lead are different in China from those in the West, and also support the endogenetic view of leading or following the timing of the release.
【作者单位】：西南交通大学经济管理学院;贵州百里杜鹃风景区发改委;
【基金】：国家自然科学基金项目(71271174) 中央高校基本科研业务费科技创新项目(SWJTU11CX088)资助
【分类号】：F832.51;F224

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