是谁在“捕风捉影”:机构投资者VS证券分析师——基于A股信息交易者信息偏好的实证研究

Who Is "Catching at Shadow" ? Institutional Investors VS Securities Analysts:An Empirical Study based on the Information Preference of Informed Investors of A-share

熊市中证券分析师和机构投资者因为研报丑闻和业绩不佳而备受争议和质疑,本文探讨上述两类信息交易者投资决策行为背后的信息偏好和行为逻辑。本文在Daniel和Titman(2006)的研究基础上利用2005年3季度至2011年2季度的中国股市相关数据进行实证研究发现:证券分析师在评级调整和盈余预测时偏好非基本面的无形信息;而机构投资者同样关注无形信息的同时也关注反映公司内在价值及基本面的有形信息。在此基础上进一步研究发现:机构持股有利于提高所持股票的信息含量,而证券分析师并不能提高所关注公司的股价信息含量。

Securities analysts and institutional investors are controversial and questioned for their report scandals or poor performance during the bear market, this paper intends to explore the information preference and behavioral logic behind the informed investors＇ investment decisions. Based on the research of Diniel and Titman （2006）, by using the data from 2005Q3 to 2011 Q2 of China, our results show that： the analysts prefer the intangible information when making recommendation adjustment or earnings forecast, while the institutional inves- tors focus on both the intangible and tangible information. Finally, this paper analyzes and discusses the different preference between the two informed investors and gives our governance advices.