分析师情绪与交易诱导:A股分析师是“虚情假意”的吗  

Analyst Sentiment and Trading Inducement: Are A-share Analysts “False?”

作　　者：胡昌生[1] 高玉森 Hu Changsheng;Gao Yusen(School of Economics and Management,Wuhan University,Hubei,Wuhan 430072,China)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《金融经济学研究》2020年第1期131-145,共15页Financial Economics Research

基　　金：国家自然科学基金项目(71671134)。

摘　　要：基于沪深两市二级市场2012年1月1日至2016年12月31日的数据,通过横截面分析发现,在研报发布之前,标的股的价格已经出现显著变化,且涨幅更大的股票具有更加乐观的分析师评级,非理性情绪在研报发布日前后出现激增;标的股的前期价格上涨时,分析师情绪可使其后续价格出现显著的正向波动;在牛市中,分析师情绪可以诱发更大幅度的价格波动。这证实了A股分析师大概率地通过研报传递着"虚情假意"的分析师情绪,意味着股市中诱导与欺骗行为的存在,也说明了股票定价在本质上是一种"欺骗均衡"。Based on the data of secondary market in China from January 2012 to December 2016,this paper conducts a cross-section analysis and find that before the research reports release,the underlying stocks’ prices have already changed significantly,and the stocks with more outstanding performance are rated more optimistically by analysts.In addition,the irrational investor sentiment booms around the release days of research reports.When the early prices of the underlying stocks rise,analyst sentiment can make their subsequent prices fluctuate significantly with a positive direction.In bull markets,analyst sentiment can induce stronger price fluctuations.The results above confirm that securities analysts in China’s A-share market transmit "insincere" sentiment with a high probability.It also implies that inducement and deception behaviors exist in China’s A-share markets,and the stock pricing actually is a"phishing equilibrium".

关 键 词：分析师情绪 交易诱导 股票价格行为 横截面分析 

分 类 号：F832.5[经济管理—金融学]