有限注意力、竞争性信息与分析师评级报告市场反应

Limited Attention,Competing Information and Market Reaction to Recommendation

证券分析师是资本市场中重要的信息提供者和解读者,竞争性信息的存在以及投资者有限注意力是否会损害投资者对证券分析师研究报告的反应是一个重要的理论和实践话题。本文采用分析师评级报告调整作为切入点首次研究了竞争性信息在证券分析师行业中的分散注意力现象。研究发现,同日发布的分析师研究报告越多,即竞争性信息越多,投资者对分析师评级报告的即期反应越弱,而滞后反应的程度越大,这意味着竞争性信息的存在的确分散了投资者对分析师研究报告的注意力,进而导致市场反应不足。研究结果在稳健性检验后仍然成立。进一步研究发现,竞争性信息导致的投资者注意力分散现象在分析师正面推荐和负面推荐中表现不同,而且投资者注意力分散现象主要存在于机构持股比例较低、同行业竞争信息较多、可见性较差的公司当中。

Sell-side analysts play important roles as the information intermediaries in the capital market.Based on the theories of limited attention and information competition,our study examines whether the effects of attention distraction exist in market reaction to analyst recommendations. We find that the concentrated announcements of analyst recommendations cause investors to under-react to relevant recommendations,while market reaction is measured by both abnormal return and trading volume. In particular,the number of analysts＇ recommendations on other companies announced on the same day is negatively associated with the immediate market reaction to the announcement of the relevant recommendation,while positively associated with the post-recommendation announcement drift. And our results are robust after considering endogeneity issues. In addition,the distraction effect is stronger on firms that receive positive recommendations,compared with those receiving negative recommendations. Our cross-sectional tests show that the effects are more pronounced for companies with less institutional holders,more within-industry competition and less visibility.