分析师评级调整与提前交易——基于融资融券市场的研究  

Trading before Analysts’ Recommendation Revisions:An Empirical Research on Margin Trading and Short Selling

作　　者：曹新伟 曾旭 洪剑峭[3] Cao Xinwei;Zeng Xu;Hong Jianqiao(School of Management,Shanghai University,Shanghai 200444;Industrial Securities,Shanghai 200135;School of Management,Fudan University,Shanghai 200433)

机构地区：[1]上海大学管理学院,上海200444 [2]兴业证券,上海200135 [3]复旦大学管理学院,上海200433

出　　处：《管理评论》2020年第12期49-60,共12页Management Review

基　　金：国家自然科学基金面上项目(70972043)。

摘　　要：本文关注了分析师评级调整前我国资本市场的融资融券交易行为,研究初步证实在融资融券市场存在基于分析师评级调整的提前交易现象。具体来说,在分析师上调评级前的短窗口内,存在异常的融资买入,但并未发现下调评级前异常的融券卖出行为。进一步的研究发现,对于融资融券规模较大的券商,其所属分析师上调评级引起的提前交易行为更严重;明星分析师并不能抑制提前交易;同时进行评级调整的分析师越多,提前交易行为越严重。本文的研究为我国分析师与机构投资者的利益冲突提供了新的实证证据,也从另一侧面反映了我国融资融券市场发展仍处于初级阶段。This paper focuses on margin trading and short selling prior to public announcement of analysts’ recommendation revisions,and shows that there is abnormal trading before analysts’ recommendation revisions. To be specific,abnormal levels of margin trading increase in the short window before analyst upgrades,but abnormal short selling volume is not significantly related to analyst downgrades.Further study shows that when the margin trading and short selling volume of brokerage firm is larger,the relationship between preannouncement abnormal margin trading and analyst upgrades is more significant. Also,star analysts do not mitigate the abnormal margin trading,and when there are more analyst upgrades on the same day,the pre-announcement trading phenomenon is more severe. This paper provides new evidence for conflict of interests between analysts and institutions,and shows that margin trading and short selling market is still at the primary stage in China.

关 键 词：分析师 评级调整 提前交易 融资融券 

分 类 号：F832.51[经济管理—金融学]