分析师评级修订对股票收益的过度反应:一种'合谋'

摘要

采用2003-2014年的数据,考察分析师评级修订时是否会对股票收益过度反应,哪些因素有可能加剧或者抑制过度反应的程度.研究发现:仅明星分析师评级修订时会对无形股票收益反应过度;当机构投资者重仓持股或上市公司高管计划减持股票时,明星分析师评级修订对无形股票收益的过度反应程度会加剧;当法律环境变得更加严格或明星分析师所任职券商的规模加大时,其评级修订对无形股票收益的过度反应程度将会降低.这一研究结论与本文提出的"合谋假说"更加一致,但与以往文献中基于行为金融学视角所提出的"过度自信假说"以及基于利益冲突视角所提出的"迎合假说"并不一致.%Based on the data of 2003-2014,the paper first examines whether the analyst's recommendation will overreact to stock returns,and then examines which factors may exacerbate or inhibit the degree of overreaction.The study found: firstly,in the analyst group,star analysts' recommendation will overreact to stock return;secondly,when institutional investors shareholding heavily or listed company's executives plan to sell stocks,the degree of the overreaction will increase;thirdly,when the legal environment has become more strict or the size of the broker which hire the star analysts becomes bigger,the degree of the overreaction will reduce.The conclusion of the study is more consistent with "conspiracy hypothesis",but inconsistent with "overconfidence hypothesis" or "cater hypothesis".