情绪溢价、禀赋效应与分析师市场声誉动态评估  

Emotional Premium,Endowment Effect and the Dynamic Estimation of Sell-Side Analysts’ Market Reputation

作　　者：李湛 阳建辉 Li Zhan;Yang Jianhui(DongGuan University of Technology;Zhongshan Securities Co.LTD)

机构地区：[1]东莞理工学院经济与管理学院,523808 [2]中山证券有限责任公司,518057

出　　处：《经济评论》2019年第6期148-158,共11页Economic Review

基　　金：国家自然科学基金“中国上市公司债券融资需求、工具选择和机制设计”(项目编号:71372215);广东省自然科学基金重点项目“我国企业发债需求、融资契约选择和机制设计”(项目编号:2016A030311027);广东省自然科学基金“金融去杠杆背景下地方政府债券创新与风险管理研究”(项目编号:2018A030313039)的阶段性成果

摘　　要：情绪溢价与禀赋效应是分析师市场声誉综合影响力的主要驱动因素。本文基于分析师市场声誉对情绪溢价、禀赋效应与行业整体水平等的动态响应机制,测度不同时间维度下情绪溢价、禀赋效应对分析师市场声誉的具体影响。实证和压力测试结果皆表明,情绪溢价显著影响分析师市场声誉,且短期效应显著强于长期;禀赋效应也显著影响分析师市场声誉,相对而言,禀赋效应的影响程度较弱,其作用机制相对均衡与平稳。分析师市场声誉具有较强路径依赖性。经与《新财富》2014-2017年度最佳分析师榜单比较,发现分析师市场声誉动态评估机制较好地拟合了《新财富》最佳分析师榜单,表现出良好的准确度和一般适用性。因此,凝聚市场力量与注重自身实力是分析师增强市场声誉的有效途径。Emotional premium and endowment effects are two main driving factors of the comprehensive influence of the market reputation of analysts. Based on the dynamic response mechanism of the market reputation of analysts to the emotional premium, endowment effects and the overall level of the industry, this paper measures the influence of emotional premium and endowment effects on the market reputation of analysts under different time dimensions. Both empirical results and stress tests show that the emotional premium can significantly affect the market reputation of analysts and the effects are significantly stronger in the short-term. The endowment effect also has a significant effect on the market reputation of analysts. Compared to the emotional premium, its influence is weaker while the influence mechanism is relatively balanced and stable. What’s more, the market reputation of analysts has strong path dependence. By comparing our results with the list of the best analysts published in NEW FOURTUNE from 2014 to 2017, it is found that our dynamic evaluation mechanism has superior fitness, accuracy and general applicability. Finally, it is concluded that gathering market power and focusing on their own capabilities are two effective ways for the analysts to improve their market reputation.

关 键 词：情绪溢价 禀赋效应 声誉效应 羊群效应 

分 类 号：F83[经济管理—金融学]