放松卖空管制对分析师预测行为的影响——来自中国准自然实验的证据

Deregulation on Short Selling Constraint and Analysts Forecast Behavior:Evidence from Quasi Natural Experiment of China

放松卖空管制是否影响资本市场信息中介分析师预测行为?本文以中国2010年启动卖空交易制度为背景,采用双重差分模型检验发现:放松卖空管制引起卖空标的股价下行风险增大,市场压力机制下,券商机构担心股市行情下滑导致中小投资者离场影响其经纪收入,促使分析师发布乐观盈利预测。市值规模大的公司对股市行情影响更大,上述作用表现得更为明显。进一步分析发现,股市行情处于"牛市"时,放松卖空管制增加分析师预测乐观度尤为显著。总体而言,与未进入卖空标的相比,进入卖空标的公司分析师盈利预测乐观度增大。这表明,在受到噪音交易者影响的中国资本市场,要发挥卖空机制对分析师的治理作用,仍存在明显的不确定性。

Whether the short selling mechanism influence the analysts' forecast behavior? Based on deregulation on short selling of China in 2010,the study using double difference model inspection finds that deregulation on short selling increases downside risks,and small and medium-sized investors' departure influence securities trader's brokerage revenues,which prompts analysts issuing bullish earnings forecasts. In large companies,the effect is more pronounced. Further analysis finds that,in "bull market",the effect is particularly significant.