分析师评级调整与提前交易——基于融资融券市场的研究

管理评论 ›› 2020, Vol. 32 ›› Issue (12): 49-60.

分析师评级调整与提前交易——基于融资融券市场的研究

曹新伟¹, 曾旭², 洪剑峭³

1. 上海大学管理学院, 上海 200444;
2. 兴业证券, 上海 200135;
3. 复旦大学管理学院, 上海 200433

收稿日期:2017-11-06 出版日期:2020-12-28 发布日期:2020-12-30
通讯作者: 曹新伟(通讯作者),上海大学管理学院讲师,博士
作者简介:曾旭,兴业证券,博士;洪剑峭,复旦大学管理学院教授,博士生导师,博士。
基金资助:
国家自然科学基金面上项目（70972043）。

Trading before Analysts' Recommendation Revisions: An Empirical Research on Margin Trading and Short Selling

Cao Xinwei¹, Zeng Xu², Hong Jianqiao³

1. School of Management, Shanghai University, Shanghai 200444;
2. Industrial Securities, Shanghai 200135;
3. School of Management, Fudan University, Shanghai 200433

Received:2017-11-06 Online:2020-12-28 Published:2020-12-30

摘要/Abstract

摘要： 本文关注了分析师评级调整前我国资本市场的融资融券交易行为，研究初步证实在融资融券市场存在基于分析师评级调整的提前交易现象。具体来说，在分析师上调评级前的短窗口内，存在异常的融资买入，但并未发现下调评级前异常的融券卖出行为。进一步的研究发现，对于融资融券规模较大的券商，其所属分析师上调评级引起的提前交易行为更严重；明星分析师并不能抑制提前交易；同时进行评级调整的分析师越多，提前交易行为越严重。本文的研究为我国分析师与机构投资者的利益冲突提供了新的实证证据，也从另一侧面反映了我国融资融券市场发展仍处于初级阶段。

关键词: 分析师, 评级调整, 提前交易, 融资融券

Abstract: This paper focuses on margin trading and short selling prior to public announcement of analysts' recommendation revisions, and shows that there is abnormal trading before analysts' recommendation revisions. To be specific, abnormal levels of margin trading increase in the short window before analyst upgrades, but abnormal short selling volume is not significantly related to analyst downgrades. Further study shows that when the margin trading and short selling volume of brokerage firm is larger, the relationship between pre-announcement abnormal margin trading and analyst upgrades is more significant. Also, star analysts do not mitigate the abnormal margin trading, and when there are more analyst upgrades on the same day, the pre-announcement trading phenomenon is more severe. This paper provides new evidence for conflict of interests between analysts and institutions, and shows that margin trading and short selling market is still at the primary stage in China.

Key words: analysts, recommendation revisions, pre-announcement trading, margin trading and short selling

曹新伟, 曾旭, 洪剑峭. 分析师评级调整与提前交易——基于融资融券市场的研究[J]. 管理评论, 2020, 32(12): 49-60.

Cao Xinwei, Zeng Xu, Hong Jianqiao. Trading before Analysts' Recommendation Revisions: An Empirical Research on Margin Trading and Short Selling[J]. Management Review, 2020, 32(12): 49-60.

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