分析师能降低股价同步性吗——基于研究报告文本分析的实证研究

Could Analysts Reduce Stock Price Synchronicity——A Textual Analysis Based on Analyst Report

股价同步性是衡量股票市场资源配置效率的重要指标。党的十九大报告提出,要"增强金融服务实体经济能力"。在这一要求下,探索如何降低股价同步性,提升金融市场合理配置资源的能力具有重要意义。本文借助支持向量机的文本分类方法,通过机器学习度量了2009—2015年中国A股上市公司的分析师研究报告中公司特质信息,研究证券分析师报告内容对股价同步性的影响。研究发现,分析师报告中公司特质信息含量越高,所关注公司的股价同步性越低;当公司所面临的信息不对称问题更加严重、分析师报告影响力更大时,这一负向关系更加显著;进一步研究发现,分析师的能力越强,研究报告中公司特质信息含量越丰富,其盈余预测准确性也更高;分析师降低股价同步性的机制是因为公司特质信息含量高的报告更受投资者关注,能引起更强烈的市场反应,使得股价更多地吸收公司特质信息。以上主要发现在控制样本选择偏差、变更主要变量衡量方式、变换实证模型后依然稳健。本文首次在对分析师报告进行信息分类的基础上,研究分析师传递的具体信息对股价同步性的影响,不仅丰富了股价同步性影响因素的研究,同时从公司特质信息的角度丰富了分析师报告信息含量的研究,具有重要的理论与实践意义。

Stock price synchronicity is an important indicator to measure the efficiency of resource allocation in the stock market.The report of the 19th National Congress of the Communist Party of China proposed to“enhance the ability of financial market to serve the real economy.”Under this requirement,it is of great significance to explore how to reduce stock price synchronicity and improve the ability of financial markets to allocate resources rationally.This paper adopts a textual classification method based on machine learning which called Support Vector Mechine to measure the firm-specific information in analyst reports of Chinese A-share listed companies from 2009 to 2015,and to study their impact on the stock price synchronicity.The paper finds that there is a negative correlation between the firm-specific information of analysts’reports and the stock price synchronicity.The negative correlation is more pronounced when information asymmetry is more severe between firms and investors,and when the reports are more influential.This paper further finds that there would be more firm-specific information in the report if the analysts are more skilled.The earning forecast would be more accurate if the report contains more firm-specific information.Finanlly,this paper finds that the mechanism for analysts reducing stock price synchronicity is because investors pay more attention on reports with more firm-specific information,thus they spurred additional market reaction and lead to the integration of information.The results are still pronounced after controlling the sample selection bias,changing the measurments for main variables,and changing the empirical model.For the first time,this paper classifies the information of analyst reports,to study the impact of specific information transmitted by analysts on stock price synchronicity.This paper enriches the research on the factors that affect stock prices and literature on the information content of analyst reports,which has theoretical and practical meanings.