摘要
本文分析了证券分析师的利益和我国证券分析师投资建议的信息含量。本文发现,证券分析师投资建议大多为"买入"或"中性"建议,而"卖出"建议却很少。通过对投资建议发布日附近股票超额回报率和超常交易量的研究,本文发现"买入"、"卖出"建议分别会引起股价的永久性上涨和下跌,而"中性"建议不会对股价产生显著影响。此外,被建议"买入"和"卖出"的股票交易量也会明显地增加,特别是在建议发布的当日。这些现象说明,投资者认为分析师的建议包含了有价值的信息,因而相应地调整了对未来收益的预期以及当前最优的持股数量。股票交易的活跃给证券公司带来了佣金收入,作为对他们向市场传递有价值信息的回报。
This paper investigates the interests of financial analysts and the information content of financial analysts＇ recommendations in China. We find that, most of the recommendations issued by analysts are buy and hold recommendations; while only a few are sell recommendations. By examining the abnormal stock return and abnormal trading volume around the recommendation announcements, we find that buy and sell recommendations will lead to permanent, price changes, rise for buy recommendations and fall for sell, while neutral recommendations do not have significant impacts on stock price. Additionally, trading volume for the stocks receiving buy and sell recommendations is highly above normal level, especially on the announcement date. These empirical results suggest that investors perceive financial analysts＇ recommendations to possess valuable information, and thus accordingly adjust the expectations of future returns and alter optimal share holdings in the portfolios.
出处
《统计研究》
CSSCI
北大核心
2008年第10期103-108,共6页
Statistical Research
关键词
分析师
股票推荐
信息含量
交易量
Analyst
Stock recommendation
Information content
Trading volume
作者简介
刘昶，男，清华大学经济管理学院博士研究生，研究方向为证券分析师与资本市场效率。
修世宇，男，2007年毕业于清华大学获管理学博士学位，研究方向为资本市场制度。
