中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据

Can Securities Analysts Improve the Efficiency of Capital Market in China

作为信息中介的重要组成部分,证券分析师增进市场运行效率的作用在成熟的资本市场已受到普遍认同。然而,在我国这样的新兴市场国家,市场对证券分析师的职业能力和职业道德还存在着诸多质疑,其能否提高资本市场的效率还有待于经验证据的支持。本文通过研究证券分析师与股价同步性、股价信息含量的关系,从整体上考察了我国证券分析师对资本市场运行效率的影响。经验证据表明:总体而言,证券分析师的信息搜寻活动能够提高股票价格的信息含量,使其包含更多公司基本面的信息,降低股价的同步性,从而增强价格对资源配置的引导作用,提高资本市场的运行效率。

It is commonly recognized that securities analysts play an important role in improving market efficiency in developed stock markets. However, in emerging markets, such as China, the securities analyst＇s professional capability and ethics are still doubtful and their role on improving the efficiency of stock market has to be proved. This paper examines the relationship between analyst activity and stock price synchronicity as well as price information content in China. The evidence shows that analyst activity, as a whole, can make more fundamental information capitalized into stock prices, and thus lead to lower stock price synchronicity and higher price information content. This means that securities analyst can improve the signal role of price for resource allocation and investment decision and thus promote market efficiency.