分析师跟踪与股价同步性--基于过度反应视角的证据

Star analyst coverage and stock price synchronicity: Empirical evidence based on market overreaction

对我国股票市场分析师跟踪与股价同步性的关系进行研究,本文发现:(1)即使明星、非明星分析师提供相似的信息,明星分析师显著降低了R^2(股价同步性),而非明星分析师则不然;(2)明星分析师预测准确度最高组和最低组股票的平均R^2并无显著差异;上述结果表明信息提供并不能完全解释我国明星分析师降低股价同步性的现象.(3)明星分析师跟踪及评级调整与短期动量效应、中长期反转效应以及异常成交额存在显著的正向关系,这一发现支持了本文的假说,即明星分析师通过引起投资者过度反应而降低股价同步性.本文的研究对于认识分析师在我国证券市场中的作用以及股价同步性的生成机理具有重要的理论与现实意义.

This paper studies how star analyst＇ s following decreases stock price synchronicity and argues that stars perform this function by inducing market over-reaction based on behavioral finance. The paper finds that, even if both star and non-star analysts have similar abilities （ as proxied by similar earnings forecast error）, star analyst＇ s coverage continues to be negatively related to synchronicity, while non-star analyst＇ s coverage does not. Secondly, the average R^2 of firms followed by stars with the most accurate earnings forecasts is insig- nificantly different from that followed by stars with the worst accurate earnings forecasts. These results suggest that information is not the only mechanism through which stars lower price synchronicity. Finally, stars coverage and bullish recommendation revision are positively related to short-term momentum, mid-and long-term reversal and abnormal trading volume, respectively. The above results are consistent with our hypothesis. Over-all, these findings help us understand the roles analysts played in emerging markets and the mechanism through which stock price synehronicity is linked to analyst＇s coverage.