管理评论

›› 2017, Vol. 29 ›› Issue (11): 171-182,195.

• 会计与财务管理 • 上一篇    下一篇

信息不透明、深度跟踪分析师和市场反应

吴武清1, 揭晓小2, 苏子豪1   

  1. 1. 中国人民大学商学院, 北京 100872;
    2. 中诚信国际信用评级有限责任公司公共融资评级部, 北京 100010
  • 收稿日期:2015-08-14 出版日期:2017-11-28 发布日期:2017-11-25
  • 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,中诚信国际信用评级有限责任公司公共融资评级部高级分析师,博士;苏子豪,中国人民大学商学院博士研究生。
  • 基金资助:

    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）。

Information Opacity, Maximum Analyst Coverage and Market Reaction

Wu Wuqing1, Jie Xiaoxiao2, Su Zihao1   

  1. 1. School of Business, Renmin University of China, Beijing 100872;
    2. Public Finance Rating, China Chengxin International Credit Rating Co., LTD., Beijing 100010
  • Received:2015-08-14 Online:2017-11-28 Published:2017-11-25

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摘要：

与已有文献不同，本文分离出深度跟踪分析师，研究信息环境对这一特殊重要群体行为的影响及其经济后果。主要结论如下：（1）深度跟踪分析师的报告数是比分析师跟踪人数和分析师报告数更具信息含量的指标。（2）出于对管理层"隧道行为"的风险规避，深度跟踪分析师更倾向于跟踪进行向上应计盈余管理（向下真实盈余管理）的公司。（3）由盈余管理程度和公司盈余公告效应之间是正向关系可知，投资者不具备有效分辨公司盈余管理行为的能力，从而容易被公司盈余管理行为所误导。（4）深度跟踪分析师有较强的价值发现功能，并且能降低投资者对公司盈余管理程度的不当反应。本文从深度跟踪分析师的角度证实了分析师的价值发现功能，这为我国在注册制改革中加强分析师的市场地位和外部约束职能提供了实证证据；市场对企业信息环境认知度较低的发现也为监管部门进一步鼓励公司自主披露提供有益启示。

关键词: 信息不透明, 分析师跟踪, 深度跟踪分析师, 市场反应

Abstract:

Based on existing literature, we separate the maximum analyst coverage (max analysts refer to those who track and publish opinions on a company and its stock most actively in a year) from ordinary analyst coverage and focus on how information environment affects max analysts' behaviors. Our conclusions are as follows:(1) the number of max analysts' reports is more indicative than the total number of tracking analysts and the total number of reports; (2) in order to avoid managers' tunneling behaviors, max analysts prefer to track companies that perform the earnings management of upward discretional accruals (or the downward real earnings management);(3) there is a positive relationship between the effect of firms' earnings announcement and the magnitude of earnings managements, which means investors cannot identify the activities of firms' earnings management and can be easily misled by managers; (4) max analysts have strong value discovering function, and can reduce investors' misunderstanding about firms' earnings management activities. We prove the value discovering functions of analysts from the perspective of maximum analyst coverage, and provide empirical evidence for the monitoring role of financial analysts in financial market in the reform process of registration system; we also find that investors know little about the firms' information environment. Based on the above conclusions, we suggest that the regulatory authorities should further encourage the firms to engage in the voluntary information disclosure to improve the market efficiency.

Key words: information opacity, analyst coverage, maximum analyst coverage, market reaction