分析师利空关注与公司投资效率:“萝卜”加“大棒”  

Analysts'Negative Coverage and Corporate Investment Efficiency:Carrot and Stick

作　　者：陈少凌[1] 周开国 杨海生[3] 钟嘉颖 CHEN Shaoling;ZHOU Kaiguo;YANG Haisheng;ZHONG Jiaying(School of Economics,Jinan University;School of Finance,Capital University of Economics and Business;Lingnan College,Sun Yat-sen University)

机构地区：[1]暨南大学经济学院,广东广州510632 [2]首都经济贸易大学金融学院,北京100070 [3]中山大学岭南学院,广东广州510275

出　　处：《金融研究》2024年第1期150-168,共19页Journal of Financial Research

基　　金：国家社会科学基金重大项目(20&ZD103);国家自然科学基金面上项目(72373053,72173141);教育部人文社会科学研究规划基金项目(21YJA790005);广东省自然科学基金面上项目(2023A1515012434)的资助。

摘　　要：本文以2009—2020年我国A股上市公司的485366份分析师报告为研究样本,尽可能剥离乐观偏差干扰,考察分析师关注对公司投资效率的真实影响。研究表明:第一,分析师的利空关注会同时抑制过度投资和缓解投资不足,对公司投资效率具有显著的提升作用。第二,基于双重纠偏LASSO回归,修正影响机制中可能存在的估计偏误,发现分析师利空关注对投资效率的积极影响,源自施加卖空压力的“大棒效应”以及提供信息增强的“萝卜效应”,且上述两种效应均会通过机构投资者和资本市场这两个渠道共同发力。第三,多中介因果路径分析显示,分析师利空关注的“萝卜效应”强于“大棒效应”,机构投资者渠道的效力强于资本市场渠道的效力。本文为探讨分析师在资本市场中的角色提供了新视角,补充了中国情境下分析师关注影响公司投资效率的经验证据。As important information intermediaries,analysts play an indispensable role in ensuring the quality of information disclosure in the capital market by thoroughly mining valuable information and providing it to investors,thus enhancing market transparency and investment efficiency.However,the literature has not yet reached a consensus on whether analyst coverage has a positive impact on companies.Analysts'optimism bias is considered the main reason why their coverage does not always exert a positive effect.This bias not only interferes with analysts'due diligence but also triggers widespread questioning of the professional ethics and competence of securities researchers,posing a potential threat to the quality of information and operational efficiency of the capital market.In response to this issue,scholars have conducted extensive studies of analysts'capabilities and intentions.However,optimism bias remains prevalent even among analysts with high levels of skill or weak private motives.Therefore,effectively stripping away the interference of optimism bias is an important prerequisite for accurately assessing the value of analysts as information intermediaries.Considering that domestic analysts exhibit a significantly higher optimism bias than their foreign counterparts,exploratory studies are particularly important,and the focus on analysts'negative coverage provides a suitable research perspective.Based on the aforementioned ideas,this paper focuses on corporate investment efficiency and comprehensively examines the compound impact and mechanism of action of analysts'negative coverage based on a sample of 485,366 sell-side analyst reports on A-share listed companies in China from 2009 to 2020.The main findings are as follows.First,analysts'negative coverage can simultaneously suppress overinvestment and alleviate underinvestment,significantly enhancing corporate investment efficiency.Second,the positive impact of analysts'negative coverage on corporate investment efficiency is more pronounced when companies face

关 键 词：分析师利空关注 公司投资效率 信息中介 双重纠偏LASSO 多中介因果路径分析 

分 类 号：F832.51[经济管理—金融学] F275