投资者注意力与分析师荐股的市场反应  

Investor Attention and Market Reactions to Analyst Recommendations

作　　者：郝亚绒 董斌[2] Hao Yarong;Dong Bin

机构地区：[1]淮北师范大学经济与管理学院,235065 [2]东南大学经济管理学院,210096

出　　处：《会计研究》2024年第10期165-178,共14页Accounting Research

基　　金：安徽省高校科研项目(2024AH053206)的资助。

摘　　要：分析师荐股报告是投资者获取市场信息的重要来源,能够显著影响股价表现,并引发投资者的广泛关注。本文基于2010至2021年间中国A股市场的数据,探讨了分析师首次发布荐股评级报告前后的市场反应,以及投资者注意力差异对市场反应的影响。研究发现,分析师通常会提前向机构投资者披露信息,导致报告发布前股价已发生显著变化,而个人投资者只能在报告正式发布后关注并做出反应。积极评级吸引了投资者的注意力,推高了短期股价,但随后出现了价格漂移和收益反转;而非积极评级则引发了股价下跌,并出现持续的价格漂移。进一步分析表明,有限套利阻碍了股价快速回归均值,导致长期价格偏离。本文的研究结果深化了对分析师荐股报告价值的理解,为优化信息披露和投资者保护提供了重要的启示。Analyst recommendations are an important source of market information for investors,impacting stock prices and drawing wide attention.Using data from China's A-share market from 2010 to 2021,this study investigates how the market reacts around the release of analysts'initial ratings and how differences in investor attention influence these reactions.Findings suggest that analysts often share information with institutional investors in advance,leading to price shifts even before recommendations are officially reported,while individual investors typically respond only once reports are made public.Positive recommendations attract greater attention from individual investors,driving short-term price gains that are later followed by reversals and drifts.In contrast,negative recommendations lead to price drops with continued drifting.Furthermore,limited opportunities for arbitrage delay price corrections,causing prices to remain off-track for longer periods.These insights deepen our understanding of the value of analyst recommendations and offer useful implications for improving information disclosure and investor protection.

关 键 词：分析师首次荐股评级 市场反应 投资者注意力 有限关注 有限套利 

分 类 号：F83[经济管理—金融学]