公司规模、分析师选择偏差和公司市场绩效——基于收购方公司视角的研究

Firm Size,Analyst Selection Bias and Firm Performance:Evidence from Acquiring Companies

在对中国2769个股权收购样本进行分析后发现,分析师跟踪和收购公告日效应(短期绩效)之间呈显著负向关系,但当控制公司规模时显著性消失;进一步研究发现,这种负向关系是由分析师偏好跟踪大规模公司造成的,从而证明了中国分析师存在选择偏差。分析师跟踪和收购方公司的长期市场绩效间存在显著的正向关系,从而为分析师的长期价值发现功能提供了证据。对于中国证券分析师的选择偏差问题,本文建议用残差分析师跟踪替代分析师跟踪的原始值来解决。随着证券市场制度创新和小型公司上市成为新常态,监管部门需要规范分析师跟踪公司的规模分布,并考虑进一步放宽机构投资者的投资标的选择范围。

After investigating 2769 Chinese share acquisitions, we find that the relationship between analyst following and M＆A announcement effect is significantly negative, however, the significance disappears after we control firm size. Further investigation shows that this negative relationship is caused by analysts＇ preference of large firms, and it provides evidence on Chinese analysts＇ selection bias. Furthermore, analyst following and acquiring companies＇ long term performance are positively related, which proves that analysts have strong value discovery function for firms＇ long term performance. We suggest to using Residual Analyst Coverage instead of raw number of analyst following, as CSRC speeds up the procedure on registration system reform and broadens OTC, GEM and SME markets. We also suggest that CSRC should specify analyst following, broaden institutional investors＇ investment targets and promote the internationalization of A-share market.