债券分析师行为及其信息作用  

The Behavior and Information Role of Bond Analysts

作　　者：文武康 王玉涛 陈晓[3] Wukang Wen;Yutao Wang;Xiao Chen

机构地区：[1]中国石油大学(北京)经济管理学院 [2]中国人民大学商学院 [3]清华大学经济管理学院

出　　处：《中国会计评论》2019年第3期487-510,共24页China Accounting Review

基　　金：中国石油大学(北京)科研启动基金(01JB2017062);国家自然科学基金项目(71972179)和国家自然科学基金项目(71962029)的资助

摘　　要：随着我国债券市场的发展,债券分析师的作用越来越大,但关注我国债券分析师行为及其信息作用的文献较少。本文基于2008-2017年我国债券分析师的投资推荐数据检验了这一问题。结果发现,评级机构对债券的信用评级越高,债券分析师出具"买入"推荐的比例越高;反之,则出具"卖出"推荐的比例越高。债券分析师的投资推荐具有信息含量,表现为"买入"("卖出")推荐能带来显著的正(负)向超额收益,表明我国债券分析师在预测时主要依据评级机构的信用评级信息;但同时,债券分析师提供的投资推荐的确具有信息含量,能够引发市场反应。本文不但能弥补现有研究的不足,而且对监管层、投资者了解债券分析师的行为和作用提供了帮助与借鉴。Bond analysts play a more and more important role as China’s bond market grows rapidly.However,there are few studies throw light on this field.Based on manually collected data about bond analysts’ recommendations from 2008 to 2017,we study the behavior and information role of bond analysts in China.We find that bond analysts issue higher portion of buy recommendation to bonds with higher issuers’ credit rating,if bond issuers’ credit rating are low,bond analysts often issue sell recommendation.Meanwhile,We also find that bond analysts’ recommendations have information content.Specifically,the buy/sell recommendations would result in a significantly positive/negative CAR in the bond market.In general,our findings imply that bond analysts rely heavily on rating agency’s rating result when making recommendations,however,their recommendations have information content and would result in market reaction.Our findings not only fill the blank on this field but also can help regulators and investors better understand bond analysts’ behavior.

关 键 词：债券分析师 投资推荐分布 信息含量 

分 类 号：F832.51[经济管理—金融学]