基金重仓对分析师行为的影响及其经济后果

发布时间：2018-07-25 16:59

【摘要】：随着中国资本市场的迅速发展,作为证券市场的信息中介,证券分析师(以下简称分析师)发挥着越来越重要的作用。分析师对信息的搜集、加工和传递,降低了资本市场的信息不对称程度,提高了资源配置效率。证券投资基金(以下简称基金)是资本市场的重要参与者,也是分析师服务的主要机构客户。基金在消费分析师服务的同时,其证券投资行为是否会对分析师的行为造成影响是会计与资本市场的研究热点之一。本文结合中国制度背景,通过实证分析的方法研究了基金重仓对分析师行为的影响及其经济后果,完善了我国分析师行为的文献。本文首先基于信息供给理论,研究基金重仓对分析师跟踪行为的影响。具体从分析师信息获取角度,检验了相对于非基金重仓股,分析师是否增加了对基金重仓股实地访谈的可能性；从分析师信息传递的角度,检验了分析师对基金重仓股和非基金重仓股在跟踪数量和发布研究报告数量上的差异。在此基础上,进一步检验了分析师对基金重仓股的跟踪传递了更多关于公司特质信息还是市场信息。其次,本文基于利益冲突理论,研究基金重仓对分析师评级行为的影响。具体检验了分析师评级行为是否与基金重仓行为相一致；相对于非基金重仓股,分析师是否对基金重仓股的评级更乐观,其评级乐观程度是否随着重仓基金数量的变化而变化。在此基础上,本文采用长窗口的市场反应进一步检验基金重仓是否影响分析师的评级效率。本文研究发现：一方面,基金对其重仓股的信息需求增加,促使分析师更加努力工作、增加信息供给。具体表现为：相对于非基金重仓股,分析师更可能对基金重仓股进行实地访谈,更多地跟踪和发布研究报告,且分析师跟踪和报告数量随着股票重仓基金数量的增加而增加；更多的分析师跟踪基金重仓股,降低股价同步性,提供了更多公司特质信息而非市场信息。另一方面,分析师及所在券商和基金存在千丝万缕的联系,导致分析师很难独立于基金对其重仓股作出独立公正的判断,造成了分析师的利益冲突。具体表现为,当基金重仓买入股票时,分析师调高评级,当基金重仓卖出股票时,分析师调低评级。分析师对基金重仓股的评级相对非基金重仓股更乐观。当基金重仓股的股价下跌,基金利益受损时,分析师更倾向于缄默不发布评级。相对于非基金重仓股,分析师对基金重仓股的投资评级回报更低。结果表明,分析师对基金重仓股的评级一定程度上损害了投资者的利益。本文的研究贡献主要有以下几个方面：首先,本文结合中国的制度背景,以基金重仓来衡量基金行为,关注基金重仓对分析师行为的影响及其经济后果,为研究分析师行为提供了一个新的切入点。其次,区别于以往文献采用单一视角研究机构投资者对分析师行为的影响,本文基于信息需求供给理论和利益冲突理论,研究基金重仓对分析师行为的影响,更全面地考察了分析师行为。再次,作者提供了分析师信息获取的直接证据——手工搜集分析师实地访谈数据,研究表明,基金重仓对分析师挖掘公司特质信息有促进作用；分析师提供更多公司特质信息降低了股价同步性,完善了分析师行为经济后果文献。最后,本文希望研究结论具有实践启示；对关注基金和分析师行为的投资者、监管部门等相关主体具有参考价值。
[Abstract]:With the rapid development of China's capital market, as the information intermediary of the securities market, securities analysts (hereinafter referred to as analysts) play a more and more important role. Analysts' collection, processing and transmission of information have reduced the information asymmetry in the capital market and raised the efficiency of the allocation of resources. Gold) is an important participant in the capital market and the main institutional customer of the analyst service. It is one of the hot spots in the accounting and capital market that whether the investment behavior of the fund will affect the behavior of the analyst at the same time, while the fund is serving the consumer analyst. The impact of the fund's heavy position on analysts' behavior and its economic consequences have improved the literature of analysts' behavior in China.
Based on the information supply theory, this paper studies the impact of the heavy warehouse on the analyst's tracking behavior. From the perspective of the analyst's information acquisition, it examines whether analysts have increased the possibility of on-the-spot interview with the non fund stock. On the basis of the differences in the number of stocks and non fund stocks that follow the number of tracking numbers and the number of research reports, it is further tested that analysts' tracking of the heavy stock shares of the fund has passed more about the company's quality information or market information. Secondly, based on the theory of conflict of interest, this paper studies the impact of the heavy position of the fund on the rating behavior of analysts. Whether the rating behavior of the analyst is in accordance with the fund heavy warehouse behavior is tested, and whether the analyst is more optimistic about the rating of the fund heavy stock relative to the non fund stock stock, and whether the optimism of the rating changes with the change of the number of heavy warehouse funds. On this basis, this paper uses a long window market reaction to further test the fund. Whether a heavy warehouse affects the efficiency of an analyst's rating.
The study found that, on the one hand, the information demand of the fund is increased to promote the analyst to work harder and increase the information supply. With the increase in the number of heavy stock funds, more analysts follow the fund's heavy stock, reducing stock price synchronicity, providing more information about the company's characteristics rather than market information. On the other hand, analysts and the securities and funds are inextricably linked, causing analysts to be difficult to independent from the fund to its heavy stock. Analysts' ratings are higher when the fund is heavily in stock. Analysts lower their ratings when the fund sells stocks again. Analysts' ratings are more optimistic than non fund stocks. Analysts were more inclined to remain silent and not to publish ratings. Compared with non - Fund stocks, analysts had lower returns on the investment rating of the fund's heavy stock. The results showed that analysts' rating to the fund's heavy stock shares was to some extent damaging the interests of investors.
The contribution of this study mainly includes the following aspects: first, this paper, based on the institutional background of China, weighs the behavior of the fund, pays attention to the impact of the heavy warehouse on the behavior of analysts and its economic consequences, and provides a new entry point for the study of the behavior of analysts. Secondly, it is distinguished from the previous literature using a single perspective. The influence of institutional investors on the behavior of analysts is based on the theory of information demand supply and the theory of conflict of interest, the study of the impact of the heavy warehouse on the behavior of analysts and the more comprehensive investigation of the behavior of analysts. Thirdly, the author provides the direct evidence for the acquisition of analysts' information - manual collection of analysts' field interview data. It shows that the fund storehouse has a promoting effect on the analyst's idiosyncratic information; analysts provide more corporate trait information to reduce stock price synchronism and improve the economic consequences of analysts' behavioral consequences. Finally, this paper hopes that the conclusions have practical implications; investors concerned with the behavior of funds and analysts, regulatory departments and so on are related. The subject has reference value.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51;F275

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