分析師評級與投資者交易行為

本文考察證券分析師評級如何影響個人和機構投資者的交易行為，以及公司特徵是否影響不同類型投資者的交易。基於獨特的賬戶交易數據，研究發現：第一，當證券分析師發布“強買”或“買入”評級時，機構投資者顯著買入該股票。對於“持有”或“賣出”評級時，機構投資者均表現為顯著的凈賣出。第二，在交易中，個人投資者僅僅起到為機構投資者提供流動性的作用。第三，公司大股東的利益攫取程度及公司資訊環境的不確定性都會削弱機構投資者對分析師評級的反應。基於不同測度和樣本的檢驗表明上述結果是穩健的。本文的研究發現為證券監管機構提供了明晰的監管建議，並為投資者優化交易決策提供了參考。
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. Copyright © 2019 中華人民共和國國務院發展研究中心.