我国证券分析师信息供给效率研究——基于分析师跟进及股价同步性的经验研究

摘要

As information intermediaries, analysts' role of enhancing the efficiency of pricing has been widely demonstrated in the mature markets. While in the emerging capital market of China, analysts' role has not yet been supported by theory and empirical data. So the A-share listed companies from year 2006 to 2010 is used as the sample and want to study the efficiency of information supply of security analyst via the relationship between analysts and stock price synchronicity. The study find that when the number of analysts following increase, share prices synchronicity becomes larger, which shows that China's analyst based more on market-level information to provide advice to investors, rather than the fundamental information of the companies, so that they are not effective enough to enhance the efficiency of pricing.%证券分析师作为资本市场的信息中介,其在成熟市场上的增进市场定价效率的作用已得到普遍论证.而我国作为新兴资本市场,分析师的资本市场作用仍有待理论和经验数据的支持.基于这个背景,以2006年-2010年中国所有A股上市公司为研究对象,通过研究分析师与股价同步性的关系来看证券分析师的信息供给效率.研究发现,随着分析师跟进人数的增加,股价同步性随之变大,说明中国的分析师更多的是基于市场层面的信息向投资者提供投资建议,而不是通过挖掘公司基本面信息,其并没有很好地起到提高资本市场定价效率的作用.