分析师网络声望、意见分歧与股票市场信息效率  

Analyst network reputation,opinion divergence and stock market informativeness

作　　者：陈荣达 俞静婧 崔淼森 金骋路 汪圣楠 陈奕扬 CHEN Rongda;YU Jingjing;CUI Miaosen;JIN Chenglu;WANG Shengnan;CHEN Yiyang(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Zhejiang Financial College,Hangzhou 310018,China)

机构地区：[1]浙江财经大学金融学院,杭州310018 [2]浙江金融职业学院,杭州310018

出　　处：《系统工程理论与实践》2024年第12期3829-3850,共22页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金重大项目(22&ZD073);国家自然科学基金(72101229)。

摘　　要：分析师过去表现与受雇券商行业地位共同影响着跟踪分析的上市公司信息披露质量.本文利用2011年至2021年的分析师-公司对数据集,通过分析师个人和券商特征层面共16个相关指标,构建分析师网络声望并探究其对股票市场信息效率的影响.研究发现,分析师网络声望增加竞争性信息,扩大意见分歧、分散投资者注意力,进而降低股票市场信息效率.特别地,分析师推荐可能包含无效信息,投资者注意力有限面对众多信息时交易活跃度降低,股票流动性下降进而削弱市场信息效率.此外,媒体报道对分析师网络声望降低信息效率具有削减作用,市场投资者情绪对分析师网络声望降低信息效率具有放大作用.Analysts’past performance and their employment status in the securities industry jointly affect the information disclosure quality of listed companies tracked and analyzed.This article uses the analyst-company dataset from 2011 to 2021,and constructs an analyst network reputation through 16 relevant indicators at the individual analyst and securities firm levels,and explores its impact on the information efficiency of the stock market.The study found that analyst network reputation increases competitive information,widens opinion divergence,and divides investors’attention,thereby reducing the information efficiency of the stock market.In particular,analyst recommendations may contain invalid information.When investors face numerous information with limited attention,trading activity decreases,stock liquidity declines,and market information efficiency is weakened.In addition,media coverage has a diminishing effect on analyst network reputation,and market investor sentiment has an amplifying effect on analyst network reputation,which reduces information efficiency.

关 键 词：分析师网络 声望 股票市场信息效率 意见分歧 

分 类 号：F830.91[经济管理—金融学]