证券分析师新股研报对新股二级市场投资者意见分歧的影响

发布时间：2018-02-20 02:51

本文关键词： 投资者分歧新股分析师研究报告换手率　出处：《西南交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：交易通常是由于买方和卖方的投资意见分歧导致的,即买方基于已掌握信息,认为该股现价偏低,值得投资,而卖方基于已掌握信息,认为该股不值得继续投资,所以做出卖出决策。同时又因为双方的信息高度不对称,亦或者信息极度缺少,也会引起买卖双方在股票价格的定价上发生较为严重的分歧,此时就会产生很高的股票交易量。根据投资者分歧产生形式,本文分析了分析师新股研究报告对投资者分歧的影响,从"有限关注"与"渐进信息流理论"两个角度实证了分析师新股研究报告的作用。渐进信息流理论是指市场上的信息量有多有少和证券投资者处理市场信息所需要的反应时间存在先后,这两点是投资者产生投资意见分歧的主要原因,并且会最终体现到股票的交易量价上。有限关注认为投资者由于能力与精力的有限,对于信息的关注肯定有先后之分,会优先关注最容易被注意到的信息。证券分析师研报能够提高能力弱者信息收集效率,减小由于能力差异导致的意见分歧,改善中小投资者信息劣势,从而保护中小投资者,同时又由于证券分析师本身的光环效应,投资者会首先关证券分析师关注的股票而不考虑背后的信息,所以又会在短时间内给投资者带来非理性的行为。本文以股票换手率作为反应投资者间意见分歧的代理变量,研究了证券分析师新股研究报告对新股交易换手率的影响情况。研究发现由于投资者的有限关注,研报越多越易引起买方超买,在新股一字板期间表现为换手率更高,同时明星分析师研报能够降低投资者意见分歧,在一字板破板后的时间段二表现为减少二级市场换手率,而低质量研报与换手率在时间段二关系不显著,即不能降低投资者意见分歧。
[Abstract]:The transaction is usually the result of differences of opinion between the buyer and the seller, that is, the buyer, based on the information at his disposal, considers that the current price of the stock is low and is worthy of investment, while the seller, based on the information at his disposal, considers that the stock is not worthy of further investment, Therefore, the decision to sell. At the same time, because the information between the two parties is highly asymmetric, or because of the extreme lack of information, it will also cause more serious differences between the buyer and the seller over the pricing of the stock price. According to the form of investor divergence, this paper analyzes the influence of analyst new stock research report on investor divergence. This paper empirically demonstrates the role of the new research report of analysts from the perspectives of "limited attention" and "progressive information flow theory". The theory of progressive information flow refers to the amount of information in the market and the securities investors dealing with the market information. The response time needed is in sequence, These two points are the main reasons for investors to disagree on their investment opinions, and will eventually be reflected in the trading volume price of stocks. Limited attention holds that due to the limited ability and energy of investors, the attention to information must have a priority. The securities analyst research paper can improve the efficiency of information collection for the weak, reduce the differences of opinion caused by different abilities, improve the information disadvantage of small and medium-sized investors, and thus protect small and medium-sized investors. At the same time, because of the halo effect of the securities analysts themselves, investors will first close the stocks of concern to the securities analysts without considering the information behind them. Therefore, it will bring irrational behavior to investors in a short period of time. In this paper, the stock turnover rate is used as the proxy variable to reflect the differences of opinion among investors. This paper studies the influence of the new stock research report of securities analysts on the turnover rate of new stock trading. The study found that due to the limited attention of investors, the more the research report is, the more likely it is to cause the buyer to overbuy, and the higher the turnover rate is during the period of the new stock market. At the same time, the star analyst research paper can reduce the difference of opinion among investors. The second performance of the time period after breaking the board in a word is to reduce the turnover rate in the secondary market, but the relationship between the low quality research report and the turnover rate is not significant in the second time period. That is, investors can not reduce their differences of opinion.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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