CAJ | 학술논문

使用2005-2010年间的中国A股数据,本文从信息溢出的角度研究分析师跟进与股价联动之间的关系.结果表明,分析师跟进较多的上市公司,其股价变化对行业内其它公司股价变化的边际影响更为强烈.这说明,信息更容易从高分析师跟进的公司溢出到低分析师跟进的公司,从而引起股价联动.在分析师跟进较为集中的行业,这一效应更为明显.在控制分析师跟进内生性的基础上,上述结论仍然不变.我们的这一发现对客观认识中国证券分析师的信息传播作用和行业个股之间的联动性具有较强的启示意义.
사용2005-2010년간적중국A고수거,본문종신식일출적각도연구분석사근진여고개련동지간적관계.결과표명,분석사근진교다적상시공사,기고개변화대행업내기타공사고개변화적변제영향경위강렬.저설명,신식경용역종고분석사근진적공사일출도저분석사근진적공사,종이인기고개련동.재분석사근진교위집중적행업,저일효응경위명현.재공제분석사근진내생성적기출상,상술결론잉연불변.아문적저일발현대객관인식중국증권분석사적신식전파작용화행업개고지간적련동성구유교강적계시의의.
Security analysts play a critical role in information transmission as a financial intermediary.The current study primarily focuses on analysts＇ behaviors such as stock recommendations and earnings forecasts,but ignores the process of information diffusion.We investigate the relationship between analysts following and stock price comovements in China by using the sample data from 2005 to 2010.The tendency of stocks moving together,also called stock return synchronicity or stock price comovements,is our analysis background due to its popularity in both developed and emerging markets.We find that stocks followed by few analysts commove significantly with firm-specific price fluctuations of highly followed firms in the same industry,especially in industries with high analyst HHI index.In other words,information about highly-followed prominent stocks is used to price other neglected stocks with common fundamental components.This is consistent with investors using information about a firm not just to trade that firm＇s stock,but also to value and trade other firms as well.Hence,higher comovement associated with the number of analysts following a stock reflects rational information intermediation.We confirm that such comovement is not intrinsically driven by commonalities in the variation of fundamentals because we control for the correlations in fundamentals returns in our main analysis.Our results are robust after controlling for the endogeneity of analysts.Therefore,these findings suggest that information spillover is an important factor of stock price synchronicity and securities analysts play an important role in information transmission and capitalization.These findings have many implications for scholars and policy-makers to understand the activities of securities analysts in China.（1） Firstly,we provide direct evidence on information transmission of securities analysts,therefore complementing the discussion of analyst behaviors.（2） Secondly,we make great contribution to stock return synchronicity literatures because we find the role of analysts from the perspective of information spillover.（3） Thirdly,Feng and Li （2011） found that the number of analysts following is positively related with stock return synchronicity in China.This paper gives some explanations to it,therefore,helping readers understand the mechanism of analyst in stock price comovements in China＇s capital market.（4） Our findings suggest that more widely followed stocks exhibit comovement because they are priced more accurately and therefore are used to infer values for more opaque stocks.This reasoning complements the Merton （1987） model by considering information spillover,therefore helping us understand information diffusion and investor attention theory.