分析师利益冲突、乐观偏差与股价崩盘风险
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| Title | Conflicts of Interest, Analyst Optimism and Stock Price Crash Risk
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| 作者 | 许年行 江轩宇 伊志宏 徐信忠 |
| Author | Xu Nianhang, Jiang Xuanyu, Yi Zhihong and Xu Xinzhong |
| 作者单位 | 中国人民大学商学院,中山大学岭南学院 |
| Organization | Renmin University of China; Sun Yat-Sen University |
| 作者Email | nhxu@ruc.edu.cn;jxynini@sina.com;zhyi7620@163.com;xuxz9@mail.sysu.edu.cn |
| 中文关键词 | 分析师乐观偏差 利益冲突 股价崩盘风险 |
| Key Words | Analyst Optimism; Conflicts of Interest; Stock Price Crash Risk |
| 内容提要 | “股价崩盘风险”是当前全球金融危机背景下财务学的一个研究热点和前沿课题。本文采用2003-2010年沪深两市A股上市公司的相关数据，首次从企业微观层面研究分析师乐观偏差是否影响上市公司股价崩盘风险，并从机构投资者、再融资行为和佣金收入压力三个方面深入考察分析师面临的“利益冲突”是否会加剧分析师乐观偏差对股价崩盘风险的影响。研究发现：（1）分析师乐观偏差与上市公司未来股价崩盘风险之间显著正相关，当跟踪上市公司的分析师中具有乐观偏差的分析师比例越高，其股价未来崩盘的风险越高，并且此关系在“牛市”阶段更为显著；（2）机构投资者持股比例越高、机构投资者数量越多、公司存在再融资行为、来自前五大佣金收入券商的分析师比例越高，分析师乐观偏差与股价崩盘风险之间的正向关系更为显著，说明“利益冲突”会影响两者的关系。本文的研究结论对于全面认识分析师在资本市场中的作用，并完善相关制度建设，以降低我国上市公司股价崩盘风险、促进证券市场平稳健康发展具有重要的理论价值和现实启示。 |
| Abstract | Stock price crash risk is a hot issue in finance research, especially in the global financial crisis context. Using a sample of A-share listed firms in China for the period 2003-2010, this paper investigate the relationship between analyst optimism and stock price crash risk at firm level, and how conflicts of interest affect this relationship. We provide strong evidence that analyst optimism is positively associated with firm-specific stock price crash risk. And, this relation is more pronounced in the bull market. Moreover, we show that the impact of analyst optimism on crash risk is more pronounced when institutional ownership is higher, the number of institutional investors is larger, there is seasoned equity offering and debt issuing, and the ratio of analysts from brokerage firms with high brokerage commissions is higher. These results indicate that conflicts of interest in sell-side research do affect this relation. Our paper contributes to the literature on stock price crash risk, and has important implications for our understanding the role of analysts and the development of capital market in China. |
| 文章编号 | WP254 |
| 登载时间 | 2012-04-20 |
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