分析师环保关注与市场反应

Analysts Attention to Environmental Protection and Stock Market Reaction

文章以沪深A股的环保类股票为研究对象,运用机器学习的方法对分析师文本进行分析提取,探究作为市场重要信息中介的分析师的环保关注度对环保类股票的市场影响.文章对2010年1月至2020年12月间239834份上市公司研究报告进行文本分析,研究发现分析师对环保的关注度对环保类股票市场带来短期的正向作用,表现为在控制了传统的分析师定量预测信息的情况下,当分析师关注度增加时,环保类股票的短期累计超额收益率也随时增加,而这种正向关系会随着分析师语调的正面性的增加而变得更加显著.进一步分析发现,分析师对环保的关注度与环保类股票市场的正向作用随着环保规制强度的增加而增大,且存在明星分析师时价格发现作用变得更加显著.异质性分析发现了在小市值和低估值公司中,这一作用更为显著.

Based on the environmental protection listed firms in Shanghai and Shenzhen A-shares stock market,this study employs the machine learning method to extract textual information from security analyst reports,and investigates the impact of analysts'attention to environmental protection on stock return reaction of green firms.By analyzing 239834 analyst reports from January 2010 through December 2020,the study finds that analysts'attention to environment is positively correlated with green firms'stock return,i.e.,when analysts'attention to environment increases,the short-term cumulative returns of green firms also increase after controlling for numerical analyst forecast information.This relationship is more pronounced when analysts'textual tone for green firms is more positive.Furthermore,this relationship is stronger when the intensity of environmental regulation increases or when there are star analysts in the report.Heterogeneous analyses show that for smaller firms and low valuation firms,this relationship is more pronounced.