买方机构调研与股价超额收益  

Buy-side analysts’ site visits and stock abnormal return

作　　者：徐泽林 高岭 林雨晨 XU Zelin;GAO Ling;LIN Yuchen(The School of Finance,Renmin University of China,Beijing 100872,China;School of Economics,Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China;Shenzhen Stock Exchange,Shenzhen 518038,China;Center for Accounting,Finance and Institutions,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]中国人民大学财政金融学院,北京100872 [2]厦门大学经济学院、王亚南经济研究院,厦门361005 [3]深圳证券交易所,深圳518038 [4]中山大学现代会计与财务研究中心,广州510275

出　　处：《系统工程理论与实践》2021年第10期2457-2475,共19页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(18CJL007,19BTJ001)。

摘　　要：基于深市A股上市公司2012年7月1日至2018年12月31日期间的投资者调研事件数据,并结合实地调研的问答文本的语调分析,本文发现在买方机构调研的多个窗口期内,上市公司的股价均具有显著为正的超额收益;相较于其他公司股票,买方机构扎堆调研"冷门股"公司、"小盘股"公司和"价值股"公司时,事件窗口期的股价超额收益更高;买方机构扎堆调研与次月个股收益率之间也具有正相关性.本文丰富了买方机构调研视角的投资价值效应研究,对市场参与各方的投资决策或制度建设提供了重要的参考依据.Site visit is an important channel for investors to obtain corporate information outside the financial statements.Existing research has mainly focused on the impact of site visits on the company ’s stock price.Based on the site visits’ event data of the Shenzhen A-share listed company from July 1,2012 to December 31,2018,combined with the tone analysis of the question-and-answer text of the activity record,we found that the stock prices of listed companies have significantly positive excess returns among event windows.Moreover,compared with other stocks,stocks with higher excess return during the event windows when the buy-side institutions gathered to investigate were "understocks " companies, "small-cap stocks" companies and "value stocks " companies,which has shown that the excess return of stock price was information premium.Then we found that there was also a positive correlation between the buy-side institutional visits and the next month’s stock returns.After a series of robustness tests,the conclusion did not change significantly.Overall,the research results supported the stock price increase caused by the buyside institutional visiting behavior based on the information premium.This article enriches the research field of the value of buy-side institutional activities,and may be beneficial to investors’ decision-making.

关 键 词：实地调研 事件研究 累积超额收益率 资产定价策略 

分 类 号：F830.91[经济管理—金融学]