分析师深度研究报告向市场传递的信息含量——基于“新”、“旧”信息的文本分解  

Information content transmitted to the market by the analysts’ in-depth reports:A text decomposition based on “new” and “old” information

作　　者：任飞[1] 罗靖怡 陈张杭健 熊熊[2] 李世炳 REN Fei;LUO Jingyi;CHEN Zhanghangjian;XIONG Xiong;LI Saiping(School of Business,East China University of Science and Technology,Shanghai 200237,China;College of Management and Economics,Tianjin University,Tianjin 300072,China;Institute of Physics,Academia Sinica,Taipei 11529,China)

机构地区：[1]华东理工大学商学院,上海200237 [2]天津大学管理与经济学部,天津300072 [3]"中央研究所"物理研究所,台北11529

出　　处：《系统工程理论与实践》2020年第12期3034-3058,共25页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71532009,71790594,71871094);教育部人文社会科学基金(17YJAZH067)。

摘　　要：本文首次从信息有效性角度,采用文本向量化方法将分析师深度研究报告文本分解为"新"、"旧"信息,并以事件窗口下的累计收益率度量股价反应,检验上述两类信息对股价的影响.研究结果表明,分析师独立收集并发布的"新"信息能够引起显著的股价反应.分析师群体存在复述市场已有信息的行为,但其复述的"旧"信息对股价无显著影响.通过进一步分解股价反应,发现分析师"新"信息同时向市场传递了公司特质信息与市场行业信息.此外,分析师报告的语调、谨慎性和简洁性等文本特征能影响"新"信息进入股价.本文为监管当局如何规范分析师行为以及分析师如何撰写研究报告提供了新的视角与实践方法.Using the method of text vectorization,we decomposed the analyst’s in-depth report text into"new"and"old"information from the perspective of information validity for the first time.We used the cumulative return in the event window to measure the stock price reaction and tested the impact of the above two kinds of information on stock prices.The results show that the"new"information collected and released independently by analysts could cause significant stock price reaction.Analysts may repeat the existing market information,but the"old"information repeated by analysts has no significant impact on stock prices.By further decomposing the stock price reaction,it is found that the"new"information of analysts transmits both firm specific information,and market and industry information.In addition,text characteristics of analysts’reports,such as tone,conservatism and conciseness could influence the impact of"new"information on stock prices.Our study provides a new perspective and practical way for regulatory authorities to regulate analysts’behavior and for analysts to write reports.

关 键 词：分析师报告 信息含量 文本分析 公司特质信息 市场行业信息 

分 类 号：F830.91[经济管理—金融学]