管理评论

›› 2020, Vol. 32 ›› Issue (5): 53-64.

• 经济与金融管理 • 上一篇    下一篇

证券公司的研究报告与股票短期异常收益之间关系的实证研究——来自中国A股市场的经验证据

宋慧琳1, 彭迪云2, 黄欣3   

  1. 1. 南昌大学管理学院, 南昌 330000;
    2. 南昌大学经济管理学院, 南昌 330000;
    3. 江西师范大学软件学院, 南昌 330022
  • 收稿日期:2019-04-01 出版日期:2020-05-28 发布日期:2020-06-03
  • 作者简介:宋慧琳,南昌大学管理学院博士研究生;彭迪云(通讯作者),南昌大学经济管理学院教授,博士生导师,博士;黄欣,江西师范大学软件学院讲师,博士。
  • 基金资助:

    国家社会科学基金项目（17BTJ011）；江西省自然科学基金管理科学项目（20171BAA208015）；江西省青年马克思主义者理论研究创新工程专项课题（17QM63）。

Empirical Research of the Relationship between Securities Company' Research Reports and Abnormal Returns on Stock——Evidence from China's A-share Market

Song Huilin1, Peng Diyun2, Huang Xin3   

  1. 1. School of Management, Nanchang University, Nanchang 330000;
    2. School of Economics and Management, Nanchang University, Nanchang 330000;
    3. School of Software, Jiangxi Normal University, Nanchang 330022
  • Received:2019-04-01 Online:2020-05-28 Published:2020-06-03

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摘要：

证券公司凭借自身优势发布的研究报告越来越受到股票投资者的关注。以证券公司2014年7月—2017年9月发布的涵盖中国沪深两市2225家A股公司共计51894份研究报告为样本,运用事件研究法剖析证券公司的研究报告是否会带来股票异常收益。结果显示：研究报告关注度与股票短期异常收益率呈反向关系，存在明显的“媒体效应”；研究报告评级情绪对股票短期异常收益率的影响在股市不同阶段存在非对称性。最后认为完善信息披露制度、保持研究报告独立性、建立价值投资理念是促使股票价值回归,降低市场波动的有效手段。

关键词: 研究报告, 股票, 异常收益, 关注度, 评级情绪

Abstract:

Research reports released by securities companies are an important basis for stock investors to make investment decisions. Drawing upon a total of 51894 research reports released by securities companies covering 2225 A-share listed companies in Shanghai and Shenzhen stock markets of China from July 1st, 2014 to Sept 30th, 2017, we analyze the effect of research reports on short-term abnormal stock returns after their publication by using event-study methodology. The empirical results are as follows: (1) There is a reverse relationship between the attention degree of research reports and short-term abnormal stock returns, which indicates an obvious “media effect”. (2) The influence of rating sentiment on stock short-term abnormal return rate is asymmetric in both bull and bear market. Finally, it is advised to promote the return of stock value and reduce market volatility by improving information disclosure system, maintaining research report independence and establishing a value investment concept.

Key words: research report, stock, abnormal returns, attention degree, rating sentiment