分析師評級調整前的知情交易行為 - 基於中國融資融券數據的研究

Informed Trading before Analyst Recommendation Changes - Based on China's Margin Trading

Student thesis: Doctoral Thesis

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Author(s)

  • Xu ZENG

Related Research Unit(s)

Detail(s)

Awarding Institution
Supervisors/Advisors
Award date26 Aug 2015

Abstract

證券分析師是證券市場中的專業投資諮詢分析人員,借助于專業分析能力與資訊收集能力向市場投資者提供證券價值資訊,給予目標股票相應評級,從而減弱證券市場目標內在價值與市場價值的偏離程度,提升市場效率。然而在中國,分析師能否發揮其應有作用常常被學術界詬病,如分析師面臨的利益衝突將影響其行為,分析師提前向機構投資者提供資訊的“潛規則”也被批判。
分析師的評級報告一般隱含一定的有別於之前市場的資訊,這種評級消息的發佈,有可能導致目標公司的投資邏輯、未來盈利和市場前景預期等發生改變,並在發佈評級的中短期內產生股價的市場反效應。因此,投資者有強烈的動機去獲取將要發生的分析師評級資訊,並根據評級做出投資和持倉決策,以便從中獲得超額收益。
本文關注分析師調整評級前的投資者知情交易行為,並使用融資融券交易資料對這一現象進行檢驗,對分析師評級調整兩個方向(上調和下調評級)均進行了研究。對於這種現象的解釋存在兩種假說,第一種是假說是:投資者是精明的,根據已有的公開信息能夠判斷公司未來的經營狀況,且與分析師的價值預測的結果一致,因此相應的融資融券交易量異常增加,而並非存在資訊提前洩露的情況;第二種假說是是資訊洩露:投資者提前得知分析師將要對目標公司作出評級調整,因此相應地融資融券交易量異常增加,投資者從知情交易中獲得利益。本研究的結果支持了第二種假說。研究發現,在分析師上調評級前,融資交易量異常放大,即存在知情交易。進一步的研究發現,是否是明星分析師和評級調整幅度對於這種現象不顯著,而評級調整次數非常顯著。由於做空機制在我國的應用並不廣泛,從超常融券交易量變化來看,融券交易波動較大,並未發現下調評級前顯著的融券交易量放大的情形。
由於中國資本市場融資融券業務相對較新,目前基於融資融券的資料來事前驗證分析師對資本市場的影響的研究較少。本研究關注中國新興的融資融券業務,對分析師評級調整前的交易均進行研究,並系統分析導致這一現象的可能原因,有助於瞭解中國市場上分析師行為及投資者交易的關係,具有一定的現實意義和理論價值。
With superior informative collection ability and analysis capabilities, analysts can provide a reasonable reflection of the intrinsic value of securities to market participants, thus weakening the stock price deviation and promoting market efficiency. However in China, Whether analysts can play its due role is often criticized by academics, such as analysts may affect their judgments by conflicts of interests, and the hidden rules of providing information ahead to institutional investors.
Analysts’ reports generally contain certain information that different from the market before, the release of which are likely to result in the revising target company's investment logic, future earnings and market outlook, and thus putting impact on the stock prices in the short term. Therefore, investors have a strong incentive to get analysts’ recommendation information, thus making investment decisions, and finally gain excess returns.
This article focuses on the informed trading before analyst grades, and we
use Chinas margin trading data to verify the phenomenon in both directions (up- and downgrades). Explanation of this phenomenon, there are two hypotheses. Hypothesis I, investors are rational enough to determine the future status of the company according to the existing public information, which are consistent with analysts' forecasts. Hypothesis II, investors know ahead that analysts will upgrade or downgrade the target company, thus may benefit a lot through informed trading with abnormal increase in the amount of margin trading. The article found there exists abnormal increase in the amount of short purchase before upgrades, and thus exists informed trading. Further research found that whether the analysts are famous or the degrees of the upgrades have no effect on informed trading. However, the number of upgrades will increase informed trading. As short selling in China is quite new, and the amount of short selling are relatively volatile, we did not find the phenomena before downgrades.
Since margin trading is new in China's capital market, there are rarely researches on the informed trading before analyst grades. This study focuses on emerging margin trading in China, especially in both directions (up- and downgrades), and systematically analysis possible causes of this phenomenon, and get further to understand the relationship between the behavior of analysts and investors trading, which has certain practical and theoretical value.