证券公司的股票投资评级具有参考价值吗？--基于A股市场的实证检验  

Are securities companies' stock investment ratings helpful? Evidence from A-share market

作　　者：蒋彧 季慧萍 JIANG Yu;JI Huiping(Nanjing University, Nanjing, Jiangsu, 210093)

机构地区：[1]南京大学商学院,中国特色社会主义经济建设协同创新中心 [2]南京大学商学院

出　　处：《中国经济问题》2018年第4期111-122,共12页China Economic Studies

基　　金：国家自然科学基金(71301072); 教育部人文社会科学研究一般项目(17YJC79006)资助

摘　　要：证券公司作为专业的市场研究机构,其发布的股票投资评级越来越受到投资者的关注。本文运用中国A股市场2014-2016年数据,实证检验机构评级是否具有投资参考价值。结果表明:在短期内,机构评级对股票超额收益有显著的正向影响,评级调整方向与股票超额收益正相关,高声誉机构的评级比一般机构更能影响股票超额收益率,市值小、换手率高股票的超额收益对于机构评级的反应更为强烈;从长期看,机构评级对股票超额收益的影响会出现反转。进一步研究发现,在市场走势不同、评级调整方向不同、机构声誉不同的情况下,机构评级对股票超额收益的影响存在差异。本文的研究有助于投资者制定更为合理的投资决策,同时对维护市场秩序具有一定的参考价值。The stock investment ratings published by securities companies as professional market research institutions attracts more and more investors＇ attention. Using the data of A-share market in 2014-2016,this paper empirically tests if the stock ratings are helpful. Results indicate that（ 1） stock ratings have significant positive effects on stock＇s short-term abnormal returns;（ 2） the direction of rating changes is correlated to stock＇s short-term abnormal returns;（ 3） stock ratings published by securities companies with high reputation have more positive effects than those published by ordinary companies;（ 4） stock ratings have more effects on short-term abnormal returns of small-value or high-turn-rate stocks;（ 5） the effects of stock ratings on long-term abnormal returns are negative. Further studies show that the effects of stock ratings on stocks＇ abnormal returns exhibit differences for different market trends,different institutional reputation and different rating change directions. Our study could provide references on the investment decision-making and the maintenance of market order.

关 键 词：机构评级 评级调整 机构声誉 超额收益 

分 类 号：F832.51[经济管理—金融学]