a股卖方分析师跟进行为对于股价信息效率的影响——来自股价同步性和盈余信息反映速率的证据

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1、万方数据A股卖方分析师跟进行为对于股价信息效率的影响AbstractSecurityanalystsserveinsecuritycompanies，mutualfunds，andotherfinancialinstitutions．Theirdutiesarecollectingandanalyzingallsortsofinformationanddatarelatedtospecificlistedcompaniesorindustries．Securityanalystsoftenhavespecialinformationchannelsandprofe

2、ssionalskills，SOthattheyCallprovidemorevaluableandefficientinformationtoothermarketparticipators．Basedonthedifferentrolesonstockmarkets，securityanalystscanbecategorizedintosell-sideanalystsandbuy-sideanalysts．Sell-sideanalystsonlyserveasinformationintermediatesandtheirrecommendationsa

3、renotdirectlyrelatedtoinvestmentdecisionsorholdingpositions．A10tofforeignacademicresearchhasconfirmedcertainspecificpatternsofsell—sideanalysts’behaviors，anditmighthavecomplicatedeffectsonthemarketinformationefficiency．Thereisnotmuchresearchonlocalsell—sideanalystsonA-sharemarket，and,

4、ifany,noconsensushasbeenreached．Thispaperistryingtoprovideftu'therevidencetosupporttherelationshipbetweensell-sideanalystsandinformationefficiencyofA-sharemarket．BasedonthedataofallA-sharemarketlistedcompaniesfrom2005to2012，thispapertestedtherelationshipbetweensynchronicityofstockpric

5、evariationandanalystfollowing，whichWasfirstdevelopedbyMorck，YeungandYu(2000)．FurthertestsarerunonthemodeldevelopedbyAyersandFreeman(2003)inordertoinvestigatetheextenttowhichanalystfollowingacceleratetheincorporationofearningnewsintoprice．Finally，timehorizonmodelandmarkettrendmodelaref

6、urthertestedastherobusmesscheck．Theywillalsorevealmoreevidenceonwhetheranalystsfollowingactivitieshavedifferenteffectsonthemarketinformationefficiencywhentimeperiodvariesormarkettrendvaries．Stockpricesynchronicitymodelshowsthatthereisasignificantpositiverelationshipbetweenpricesynchro

7、nicityandanalystfollowingaftercontrollingfortheinfluenceoffirmsize，ownershipstructure，businessperformancehomogeneityandinstitutionalinvestors’tradingbehaviors．Supplementaltestsshowthatanalystfollowingacceleratestheincorporationoffirm—specificcomponentoffutureeamingsnewsintostockprice，

8、inste