摘要
股价联动是金融市场风险传染的主要表现,研究股价联动的影响因素对于防范和化解金融风险具有重要意义.鲜有文献关注分析师报告包含的相似信息与股价联动的关系,但证券分析师在股票市场上扮演着重要的信息中介角色,其生产的相似信息将通过引起投资者的同向交易对股价联动造成影响.文章利用2015年1月–2023年5月A股上市公司的分析师报告,引入TF-IDF文本分析方法测算共同分析师报告和个体分析师报告的文本相似度,探讨分析师报告中相似信息对股价联动的影响.研究发现:1)分析师报告中的相似信息能够显著促进股价联动.2)个体和机构投资者交易行为在文本相似度对股价联动的影响中起到了中介作用.3)共同分析师生产更多的相似信息,会加剧股价联动异象,进一步研究表明,若股票对属于同一行业这一结论则更加显著.研究成果有助于深入理解分析师生产的信息对股价联动的影响机制,为投资者理性投资及监管者加强市场管理提供理论依据.
Stock comovement is the main manifestation of risk contagion in the financial market,and it is of great significance to study the influencing factors of stock price linkage to prevent and resolve systemic financial risks.Few literatures pay attention to the relationship between the similar information contained in analyst reports and stock price linkage,but securities analysts play an important role as information intermediaries in the stock market,and the similar information produced by them will affect the stock price linkage by causing investors to trade in the same direction.Based on the analyst reports of A-share listed companies from January 2015 to May 2023,this paper introduces the TF-IDF text analysis method to measure the textual similarity of joint analyst reports and individual analyst reports,and discusses the impact of similar information in analyst reports on stock price linkage.The study finds that:1)Similar information in analyst reports can significantly promote stock comovement.2)The trading behavior of individual and institutional investors plays an intermediary role in the impact of text similarity on stock comovement.3)Co-analysts produce more similar information,exacerbating the stock comovement vision,and further research shows that the conclusion is more significant if stocks belong to the same industry.The research results are helpful to deeply understand the influence mechanism of information produced by analysts on stock price linkage,and provide a theoretical basis for investors to invest rationally and regulators to strengthen market management.
作者
任飞
王鹏程
李呈昊
熊熊
REN Fei;WANG Pengcheng;LI Chenghao;XIONG Xiong(School of Business,East China University of Science and Technology,Shanghai 200237,China;Antai College of Economics&Management,Shanghai Jiao Tong University,Shanghai 200030,China;College of Management and Economics,Tianjin University,Tianjin 300072,China)
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2024年第7期2095-2119,共25页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71871094,72141304,71790594)。
关键词
分析师报告
文本相似度
股价联动
共同覆盖信息
机器学习
analyst report
text similarity
stock comovement
coverage-specific information
machine learning
