政商关系、分析师预测与股价同步性——基于腐败官员落马的准自然实验

Government-Business Relations, Analyst Forecasts and Stock Price Synchronization: Quasi-natural Experiments Based on the Fall of Corruption Officials

关系型交易会影响分析师的信息传递效率,进而对企业的信息环境产生影响。文章基于腐败官员落马这一准自然实验对上述假说进行了检验。文章以2005-2011年与24位省部级以上落马高官有关联的企业为样本,研究了政商关系的外生变化对分析师行为和企业信息环境的影响。文章基于双重差分模型,发现腐败官员落马后,与之关联企业的分析师预测准确性提高,预测分歧度降低,分析师跟踪数量增加,企业股价同步性降低。进一步检验发现,在官员落马影响关联企业股价同步性的过程中,分析师发挥了中介作用。可见,反腐能够降低分析师获取信息的门槛,提高分析师传递信息的效率,进而改善企业信息环境。

What is the influence of anti-corruption on the operation of the capital market？We studied this question from the perspective of analysts. We mainly focus on how the changes of government-business relations caused by anti-corruption affect analysts＇ behaviors and enterprise information environment. Trapped in endogenous problems,based on cross-sectional data,it is difficult to directly verify the causal relationship among government-business relations,analysts＇ behaviors and enterprise information environment. We study the above question by taking advantage of the anti-corruption event,which is a quasi-natural experiment. We choose the companies with relationships with high-level Chinese bureaucrats involved in corruption scandals between 2005 and 2011 as samples,because this kind of events are abrupt,usually unpredictable,and have no direct effect on the business activities of affiliated companies（Fan,et al.,2008）. In addition,the establishment of government-business relations needs long-term mutual specific investment（Williamson,1983）,so it is difficult for affiliated companies to establish an alternative government-business relation immediately after the corruption officials arrested.Based on the DID model,we find that after the corruption event analyst forecast accuracy increases,divergence decreases,analysts following increases,and meanwhile,the company’s synchronization declines significantly.Furthermore,the change of company’s synchronization is mainly driven by the change of analysts following.In addition,the above results are mainly driven by the sample in more marketed regions and the state-owned companies.This paper has some contributions in both theory and practice.First,our findings prove that the analyst is an important information intermediary in the capital market.We further point out that government-business relations not only affect the efficiency of public information,such as financial reports,but also affect analysts’behaviors,and the corresponding economic consequences,that is,the decline of enterprise information environment.Second,our research contributes to the analysts’literature.Our findings support the negative causal relationship between government-business relations and analyst forecast accuracy,forecast divergence and analysts following.Third,we verify the causal relationship between government-business relations and enterprise information environment.As the above relationships,there have been two competitive explanations：government-business relations lead to the poor information environment,or the poor information environment increases the possibility of government-business relations established.Taking advantage of the anti-corruption event,we find empirical evidence for the first interpretation,that is,government-business relations lead to the poor information environment,and we further explore the affecting channel.Finally,the findings of our research provide empirical evidence of the economic consequences of anti-corruption.The anti-corruption helps to improve the information environment of the affiliated enterprises and reduce the information asymmetry in the capital market.In addition,our findings show that the analyst plays an important role in information transferring,and actively promoting the development of the analyst career is crucial to the improvement of the capital market.