我国分析师基金关联的特质性风险和收益后果:佣金施压假说的作用机制

›› 2019, Vol. 31 ›› Issue (10): 23-35.

我国分析师基金关联的特质性风险和收益后果:佣金施压假说的作用机制

吴武清¹, 苏子豪², 揭晓小³, 陈敏⁴

1. 中国人民大学商学院, 北京 100872;
2. 哈尔滨工业大学经济与管理学院, 哈尔滨 150001;
3. 富士康工业互联网股份有限公司, 北京 100020;
4. 中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2017-01-06 出版日期:2019-10-28 发布日期:2019-11-05
通讯作者: 苏子豪(通讯作者),哈尔滨工业大学经济与管理学院助理教授,博士
作者简介:吴武清,中国人民大学商学院副教授,博士生导师,博士;揭晓小,富士康工业互联网股份有限公司投资者关系总监,博士;陈敏,中国科学院数学与系统科学研究院研究员,博士生导师,博士。
基金资助:
国家自然科学基金项目（71871216；71673315）；北京市社会科学基金项目（17GLB022）；中国人民大学科学研究基金（中央高校基本科研业务费专项资金资助）项目（16XNB025）。

Influence of Fund Relation of Analysts on Benefit and Idiosyncratic Risk in China: The Reasons Why “Fee Pressure Hypothesis” Exists

Wu Wuqing¹, Su Zihao², Jie Xiaoxiao³, Chen Min⁴

1. School of Business, Renmin University of China, Beijing 100872;
2. School of Management, Harbin Institute of Technology, Harbin 150001;
3. Foxconn Industrial Internet Co., Ltd., Beijing 100020;
4. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190

Received:2017-01-06 Online:2019-10-28 Published:2019-11-05

摘要/Abstract

摘要：

本文利用我国券商佣金数据，研究了分析师的基金关联对股票特质性风险和风险调整后收益的影响，并分析影响产生的机制。实证结果显示，分析师的基金关联会增大关联分析师所跟踪股票的特质性风险；佣金压力同时增加了股票的特质性风险和调整后收益。这表明佣金压力影响了基金关联分析师行为，即佣金施压假说成立。进一步地，本文论述并验证了关联分析师的乐观偏差和大额持股机构投资者稳定股价的动机是佣金施压假说成立的两个可能原因。

关键词: 分析师, 基金关联, 机构投资者

Abstract:

This paper investigates the impact of fund relation of sell-side analysts on idiosyncratic risk and risk-adjusted return of a specific stock and analyzes the path where the impact takes place using data of stockjobbers' commission fees in China. The empirical results show that fund relation increases the idiosyncratic risk and risk-adjusted return of the stock covered by related analysts; increase of commission fee pressure increases idiosyncratic risk and risk-adjusted return.All these show that "fee pressure hypothesis" exists in China. Further, we explain and confirm that optimistic bias and the motivation of stabilizing stock price of big share-holding institutions is right the reason why "fee pressure hypothesis" exists.

Key words: analysts, fund relation, institutional investors

吴武清, 苏子豪, 揭晓小, 陈敏. 我国分析师基金关联的特质性风险和收益后果:佣金施压假说的作用机制[J]. , 2019, 31(10): 23-35.

Wu Wuqing, Su Zihao, Jie Xiaoxiao, Chen Min. Influence of Fund Relation of Analysts on Benefit and Idiosyncratic Risk in China: The Reasons Why “Fee Pressure Hypothesis” Exists[J]. , 2019, 31(10): 23-35.

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