分析师跟踪网络与公司特质信息研究——基于股价同步性视角的实证分析  

Analyst Tracking Network and Firm-specific Information:Empirical Analysis from a Stock Price Synchronicity Perspective

作　　者：王明涛[1] 李茜 Wang Mingtao;Li Qian

机构地区：[1]上海财经大学金融学院

出　　处：《金融经济学研究》2023年第3期98-113,共16页Financial Economics Research

基　　金：国家自然科学基金项目(72072108)。

摘　　要：基于2003—2020年中国A股市场交易、分析师报告及公司财报相关数据,构建分析师跟踪网络并对其中蕴含的信息及其特征进行研究。实证结果显示,分析师跟踪网络蕴含着公司特质信息,既有公开的也有未公开的公司信息,这一结论在经过内生性处理及稳健性检验后依然成立。进一步分析发现,不同网络连接方式中蕴含的信息存在差异,随着公司在网络中的程度中心度提高,网络中的信息增量以公开信息为主;随着公司在网络中的中介中心度提高,网络中蕴含的公开信息与未公开信息均得到增加。拓展性研究表明,网络中的信息含量与分析师能力相关,表现为分析师能力越强,网络中蕴含的未公开信息越多。上述研究结论对监管部门引导投资者关注分析师跟踪网络,提升中国资本市场有效性具有重要的现实启示。Against the backdrop of a steep rise in financial instability as evidenced by the collapse of Silicon Valley Bank,improving the content of firm-specific information in capital markets is imperative to safeguarding investors'interest and preventing financial risks.This study developed an analyst tracking network based on data related to China's A-share market transactions,analyst reports,and firms'financial statements from 2003 to 2020 and investigated the information contained in the network and its characteristics.According to the empirical results,the analyst tracking network contained firm-specific information-both publicly and non-publicly available-where this conclusion remained valid after endogeneity and robustness testing.Further analysis revealed the presence of differences in the information contained in different network connection methods,where information increment in the network was dominated by public information as the firm's degree centrality in the network increased,while both public and non-public information contained in the network increased as the firm's betweenness centrality increased.Extended research showed that information content in the network was correlated with analyst competence,where the stronger the analyst's competence,the greater the amount of non-public information contained in the network.The conclusions above had vital practical implications for regulators when guiding investors'attention to the analyst tracking network and boosting the effectiveness of China's capital markets.

关 键 词：分析师跟踪网络 公司特质信息 网络中心度 股价同步性 

分 类 号：F830.9[经济管理—金融学]