A股“入摩”改善了股票市场的信息环境吗?--基于分析师盈利预测的视角  

Does A-share"Rubbing into MSCI"Improve the Information Environment?——Based on the Perspective of Analysts'Earnings Forecast

作　　者：顾煜[1] 施雯 Gu Yu;ShiWen(School of Business,BeijingWuzi University,Beijing 101149,China)

机构地区：[1]北京物资学院商学院,北京101149

出　　处：《金融发展研究》2021年第4期69-75,共7页Journal Of Financial Development Research

摘　　要：A股纳入MSCI新兴市场指数,标志着我国资本市场的国际化水平有了显著提升。本文基于多期双重差分模型,检验了A股“入摩”对分析师盈利预测的影响。结果表明,A股“入摩”有效降低了分析师盈利预测偏差和乐观偏差,并提升了我国资本市场的信息环境质量;且当公司治理水平越高,A股“入摩”对分析师盈利预测偏差的抑制作用越明显。进一步地,机构投资者的增持是这一积极效果的重要影响机制。本文研究表明,资本市场国际化改善了信息环境,为后续微观层面的政策效应提供了证据。The inclusion of A-shares in the MSCI Emerging Markets Index marks a significant improvement in the internationalization of China's capital market.Based on a multi-period double difference model,this paper examines the impact of A-share"rubbing into MSCI"on analysts'earnings forecasts.The results show that A-share accession effectively reduces analysts'earnings forecast bias and optimism bias and improves the quality of information environment in China's capital market;and the higher the level of corporate governance,the more suppressive the effect of Ashare accession on analysts'earnings forecast bias.The higher the level of corporate governance,the more pronounced the suppression of analysts'earnings forecast bias.Further,the increase of institutional investors'holdings is an important mechanism for this positive effect.This paper indicates that the internationalization of capital markets improves the information environment and provides evidence for the subsequent micro-level policy effects.

关 键 词：A股“入摩” 分析师盈利预测 机构投资者 公司治理 

分 类 号：F832.5[经济管理—金融学]