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声誉模式VS信息模式:中国证券分析师如何影响市场?
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TitleReputation Mechanism VS Information Mining Mechanism:How China’s Securities Analysts Influence Market?  
作者张宗新 杨万成  
AuthorZhang Zongxin and Yang Wancheng  
作者单位复旦大学 
OrganizationInstitute for Financial Studies, Fudan University 
作者Emailzhangzongxin@fudan.edu.cn; 
中文关键词证券分析师 明星分析师 推荐研报 信息模式 声誉价值 
Key WordsSecurities Analyst; Star Analyst; recommendation Report; Information Mining Mechanism; Reputation Mechanism 
内容提要证券分析师能否通过高质量的研究报告挖掘前瞻性信息以减少市场信息非对称性,以“研究创造价值”引导市场理性投资与推广价值投资理念,承担重塑资本市场秩序和保护中小投资者权益的重要使命,成为当前中国资本市场关注的重点问题。本文以中国证券行业分析师发布研究报告的行为机制为研究主线,以构建分析师研报质量的量化指标为基础,从声誉模式和信息模式维度对证券分析师影响市场的机制及其创造价值的能力进行挖掘。研究发现:(1)新财富分析师研究报告质量较高,通过前瞻性基本面信息挖掘,起到了引导市场的作用;(2)分析师具有声誉模式和信息挖掘模式两种影响市场的途径:在中短期内,声誉模式起主导作用,在中长期内,信息挖掘模式起主导作用;(3)从两种模式传导的过程看,证券市场的信息不对称性同时强化了分析师声誉模式和信息挖掘模式的市场影响机制,但机构持股行为仅仅强化了分析师信息挖掘机制而并未增强明星分析师的声誉效应;(4)从组合检验的视角看,以明星分析师作为研究报告分类基准难以改善投资者的业绩,但高信息含量研究报告能为投资者创造价值。 
AbstractWhether securities analysts can undertake the responsibility to reconstruct the order of capital market and protect individual investors through providing high-quality recommendation reports with prospective information and popularizing the concept of value investing is an important issue of China’s capital market.On the base of constructing quality index of investment reports,we explore the way securities analysts influence stock market and create value for investors from the perspectives of reputation and fundamental information mining centering on the behaviors of issuing investment reports.Our research shows that star analysts provide significantly more prospective fundamental information in investment reports compared with non-star analysts,which indicates that star analysts guide the market in terms of information mining. Moreover,Analysts exert influence on stock market through reputation mechanism and information mining mechanism.The former one dominates short term stock price while the later one dominates long term stock price. Additionally,information asymmetry reinforces the influence of both reputation mechanism and information mining mechanism while mutual fund holdings intensify information mining mechanism rather than reputation mechanism.What’s more,by analyzing portfolios constructed by consensus rating of analysts,we provide strong evidence that investing according to the recommendations of star analysts can not improve portfolio performances while investment reports with higher quantity of prospective fundamental information contribute higher abnormal return for investors. 
文章编号WP1016 
登载时间2016-01-08 
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