声誉模式抑或信息模式:中国证券分析师如何影响市场?

A Reputation Mechanism or an Information Mining Mechanism:How China's Securities Analysts Influence Market?

证券分析师能否通过挖掘基本面信息减少市场信息非对称性,以"研究创造价值"引导市场理性投资,成为当前中国资本市场关注的重点问题。本文以构建券商研究报告信息量化指标为基础,从证券分析师声誉和挖掘基本面信息出发,探索了中国证券分析师影响市场的路径和机制。研究发现:(1)控制声誉因素的影响,分析师能通过信息模式直接影响市场;剥离基本面信息,新财富分析师通过声誉模式产生了更大的市场反应;(2)对于影响两种模式的市场环境,信息不对称增强了声誉模式和信息模式的作用;基金持股增强了信息模式而未提高声誉模式的作用;(3)基于一致预期组合分组检验,声誉模式通过卖空组合而非买入组合产生了价值;而信息模式通过买入组合和卖空组合均能创造价值。

Whether securities analysts can provide fundamental information and popularize value investing is an important issue. On the base of quantifying information of investment reports, we explore the way securities analysts influence stock market from the perspectives of reputation and fundamental information mining. Our research shows that analysts can exert influence on stock market through information mining and reputation directly. Additionally, information asymmetry reinforces the influence of both reputation mechanism and information mining mechanism while mutual fund holdings intensify information mining mechanism rather than reputation mechanism. What＇s more, reputation mechanism only generate value for short investors while information mining mechanism contribute higher abnormal return for investors in both long and short portfolio. Our research certifies the direct impact of reputation model and information model, which is meaningful for us to understand how analysts impact stock market.