基金股权关联分析师损害了股票市场信息效率吗——基于股价同步性的经验证据

›› 2018, Vol. 30 ›› Issue (8): 3-15.

• 经济与金融管理 • 下一篇

基金股权关联分析师损害了股票市场信息效率吗——基于股价同步性的经验证据

伊志宏¹, 申丹琳¹, 江轩宇²

1. 中国人民大学商学院, 北京 100872;
2. 中央财经大学会计学院, 北京 100081

收稿日期:2016-11-25 出版日期:2018-08-28 发布日期:2018-08-31
通讯作者: 申丹琳(通讯作者),中国人民大学商学院博士研究生
作者简介:伊志宏,中国人民大学商学院教授,博士生导师,博士;江轩宇,中央财经大学会计学院副教授,博士。
基金资助:
国家自然科学基金项目（71572192；71272151）。

Do Fund Equity Affiliated Analysts Damage Stock Market Information Efficiency——An Evidence Based on Stock Price Synchronicity

Yi Zhihong¹, Shen Danlin¹, Jiang Xuanyu²

1. School of Business, Renmin University of China, Beijing 100872;
2. School of Accountancy, Central University of Finance & Economics, Beijing 100081

Received:2016-11-25 Online:2018-08-28 Published:2018-08-31

摘要/Abstract

摘要：

结合我国股票市场信息效率亟待提高，及卖方研究兴起与基金业发展关系密切的现实背景，本文探讨了分析师任职券商与基金之间普遍存在的一种关系——券商参股基金的股权关联关系对股票市场信息效率的影响。研究发现：（1）基金股权关联分析师关注程度与公司股价同步性显著负相关；（2）当股东基金对公司特质信息需求增加时，这种负相关关系更显著；（3）投入更多的精力进行实地调研是其降低股价同步性的一个重要途径；（4）基金股权关联分析师的盈余预测更准确，排除了噪音导致股价同步性降低的可能。本文研究将丰富和发展分析师与基金关系、分析师与市场信息效率等相关领域的文献；对全面认识基金股权关联分析师扮演的信息角色，激励分析师更有效地为市场提供信息服务，促进股票市场信息效率的提高具有重要的现实启示。

关键词: 基金股权关联, 股价同步性, 分析师关注, 实地调研

Abstract:

Considering that China's stock market information efficiency needs to be improved, and the rapid rise of sell-side research is inseparable from the magnificent growth of fund industry, this paper explores whether equity affiliation (brokerage firms owning funds' shareholding), a common relationship between analysts' brokerage firms and funds, could have an impact on stock market information efficiency. Our findings show that firms with more equity affiliated analyst coverage have a lower level of stock price synchronicity; when shareholder funds demand more firm-specific information, fund equity affiliated analyst coverage further reduces the synchronicity level; devoting more energy to site visits is an important way for equity affiliated analyst to reduce stock price synchronicity, and lastly, equity affiliated analysts provide more accurate earnings forecasts, ruling out the possibility that they generate noise thus decrease the stock price synchronicity. This paper adds to the literature on the relation between analysts and funds, and between analysts and market information efficiency. The research provides an insight into the information role that equity affiliated analysts play, and has implication on impelling analysts to provide higher-quality information service for the market, so as to promote stock market information efficiency.

Key words: fund equity affiliation, stock price synchronicity, analyst coverage, site visits

伊志宏, 申丹琳, 江轩宇. 基金股权关联分析师损害了股票市场信息效率吗——基于股价同步性的经验证据[J]. , 2018, 30(8): 3-15.

Yi Zhihong, Shen Danlin, Jiang Xuanyu. Do Fund Equity Affiliated Analysts Damage Stock Market Information Efficiency——An Evidence Based on Stock Price Synchronicity[J]. , 2018, 30(8): 3-15.

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基金股权关联分析师损害了股票市场信息效率吗——基于股价同步性的经验证据

Do Fund Equity Affiliated Analysts Damage Stock Market Information Efficiency——An Evidence Based on Stock Price Synchronicity

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