分析师评级调整与买空卖空中的知情交易

Analysts' Recommendation Revisions and Informed Trading in Short Sales and Margin Purchases

采用2010年3月—2015年12月的数据,检验了分析师评级调整窗口期股票的累计超额收益与之前10个交易日股票的异常买空、卖空之间的关系,研究发现:分析师上调评级窗口期股票的累计超额收益与之前10个交易日的异常买空不相关,但分析师下调评级窗口期股票的累计超额收益与之前10个交易日的异常卖空显著负相关,表明买空一方的信息总体上并非源自于分析师的知情交易,但卖空一方的信息明显包含分析师的知情交易;此外,随着卖空交易量或券商规模的加大,分析师下调评级窗口期股票的累计超额收益与之前10个交易日的异常卖空呈更加显著的负相关关系,这表明券商声誉机制在约束分析师"泄密"行为方面并未发挥有效作用。研究结论为资本市场加强对券商、分析师及投资者的有效监管提供了一定的启示。

Using the data during the years from 2010 to 2015, this paper examines the abnormal short sales/ margin purcha-ses in the 10 trading days before analysts’ downgrade/upgrade recommendations. T h e results are as follows. There is a significant negative relationship between the abnormal short sales in the 10 trading days before analysts’ downgrade recommendations with a b-normal returns around the downgrade date, but there is no significant relationship between the abnormal margin purchases in the 10 trading days before analysts’ upgrade recommendations with abnormal returns around the upgrade date. The abnormal short sales is more significant with the increase of trading volume or broker size. T h e above-mentioned results show that margin purcha-ses do not include informed trading which the information com e s from analysts’ tipping, but short sales include informed trading which information comes from analysts’ tipping. Moreover, the brokerage reputation mechanism does not play an effective role in restricting analysts’ tipping. The conclusions of this study enrich the literatures of the informed trading of credit transactions a nd analysts’ unfair disclosure, and render some references to the regulation of capital markets on the brokers, analysts and investors.