终极股权结构、分析师跟进与股价同步性实证研究

Empirically Analysis on Ultimate Ownership,Analyst Following and Stock Returns Synchronicity

本文从终极股权结构的角度出发,研究了金字塔控股结构对资本市场信息传播效率的影响。以2005-2012年的沪深A股上市公司为样本,本文讨论公司终极股权特征对分析师挖掘公司层面信息能力的影响。我们发现,对于具有金字塔股权结构的公司来说,分析师跟进与股价同步性的正相关关系要高于具有非金字塔股权结构的上市公司,说明证券分析师难以获取具有复杂股权结构公司的特质信息。

Taking the perspective of ultimate ownership, this paper investigates the effect of pyramidal structure on information dissemination efficiency of capital market. Using the sample of Chinese A-share listed firms during 2005-2012, we discuss the impact of ultimate ownership characteristics on analysts’ mining of firm-specific information. We find that for those firms with pyramidal structure, analyst following is positively correlated with stock return synchronicity to greater extent than those firms without pyramidal structure, suggesting that it is difficult for securities analysts to obtain firm-specific information for firms with complicated ownership structure.