未预期分析师覆盖、股票收益与机构投资者行为
首发时间:2019-10-31
摘要:未预期分析师覆盖中包含上市公司除日常交易信息(市值、流动性、动量等)之外的信息,本文将分析师覆盖分解为由日常交易信息引起的预期覆盖和由其他信息引起的未预期覆盖,有效地拓展了分析师覆盖信息研究的外延。研究发现,未预期分析师覆盖的增加对股票未来收益有显著的预测效果;未预期分析师覆盖能够显著的预测公司基本面变化的趋势;未预期分析师覆盖与机构投资者行为并无显著关系。本文结论证实了未预期分析师覆盖中包含着丰富的信息,为金融市场参与者深入认识分析师覆盖的行为提供了很好的借鉴意义。
关键词: 金融市场 未预期分析师覆盖 股票收益 公司基本面 机构投资者行为
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Abnormal Analyst Coverage, Stock Return and Institutional Investor's Henaviors
Abstract:In this paper, abnormal analyst coverage encompasses information of listed companies' other than normal trading information (market capitalization, liquidity, momentum, etc.). By breaking down analyst coverage into expected coverage caused by trading information and annormal coverage caused by other information, this paper effectively expands the extension of literatures of analyst coverage. This paper finds that increase in abnormal analyst coverage has a significant predictive effect on future returns of the stocks; abnormal analyst coverage can significantly predict the trend of companies' fundamental situation; and abnormal analyst coverage and institutional investor\'s behavior have no significant relationship. The conclusions of this paper confirm that the abnormal analyst coverage contains a wealth of information, which provides a good reference for financial market participants to deeply understand the behavior of analyst coverage.
Keywords: financial market abnormal analyst coverage sotck returns fundamental institutional investor's behaviors
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