分析师评级与投资者交易行为

Analyst Recommendations and Different Invertors' Trading

本文考察证券分析师评级如何影响个人和机构投资者的交易行为,以及公司特征是否影响不同类型投资者的交易。基于独特的账户交易数据,研究发现:第一,当证券分析师发布"强买"或"买入"评级时,机构投资者显著买入该股票。对于"持有"或"卖出"评级时,机构投资者均表现为显著的净卖出。第二,在交易中,个人投资者仅仅起到为机构投资者提供流动性的作用。第三,公司大股东的利益攫取程度及公司信息环境的不确定性都会削弱机构投资者对分析师评级的反应。基于不同测度和样本的检验表明上述结果是稳健的。本文的研究发现为证券监管机构提供了明晰的监管建议,并为投资者优化交易决策提供了参考。

This study explores how institutional and individual investors respond to analyst recommendations. Using a unique account-level trading dataset taken from the Shanghai Stock Exchange, we obtain direct evidence to show that(1)institutional investors are significantly net buyers(net sellers) on'strong buy'and'buy'('hold'and'sell') recommendations;(2)individual investors, in contrast, exhibit abnormal trade reactions opposite to those of institutional investors;(3)institutional investors’ response to analyst ratings would be weaken by firm’s bad corporate governance and information opacity. Our results are robust to alternative measures and different specifications. This study provides support and suggestions for regulators’ concerns about the sub-optimal investment decisions made by individual investors who are unaware of the potential conflicts of interest analysts may face.