基于佣金收入动机的机构投资者盈利预测偏离与股票交易量研究  

Research on the Earnings Forecast Deviation of Institutional Investor and the Stock Trading Volume Prompted by the Commission Incentive

作　　者：丁方飞[1] 张宇青[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410079

出　　处：《金融研究》2012年第2期196-206,共11页Journal of Financial Research

基　　金：国家社科基金项目"机构投资者自利性行为对金融危机的诱导机制与监控体系研究"(09CJY081)的研究成果;湖南省高校青年骨干教师培养项目的资助

摘　　要：本文基于信息反应模型研究了机构投资者盈利预测偏离与普通投资者交易需求之间的激励关系,并选取2006至2010年的相关盈利预测和股票交易数据进行实证分析。结果表明,机构投资者的盈利预测存在显著偏离前期市场平均预测值的倾向,而且这种偏离倾向会进一步诱发股票交易增量,从而增加机构投资者的佣金收入。这意味着普通投资者在参考机构投资者的盈利预测报告时,需要考虑其基于刺激交易量的自利因素。Based on the information - react model, this paper studies the incentive Correlation between the institutional investor＇s earning forecasts deviation and the stock trading volume. Then,. the authors make empirical analyses after collecting the data of earning forecasts and stock trading volume from 2006 to 2010. The empirical result indicates that the institutional investors＇ earning forecasts are significantly deviate from the previous average earning forecast in the stock market and the difference will raise the trading volume, in turn leading to an increase of brokerage fee. The result implies that individual investors should take into account of the institutional investors＇ selfishness when reading their earning forecast report.

关 键 词：机构投资者 盈利预测偏离 交易量 

分 类 号：F832.51[经济管理—金融学]