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利益冲突、声誉激励与股价发现有效性
Interest conflicts,reputation effects and stock price efficiency
摘要点击 27  全文点击 12    
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中文关键词  关联分析师  利益冲突  声誉激励  股价发现有效性
英文关键词  affiliated analyst  incentive conflicts  reputation incentives  stock price responsiveness
基金项目  西南财经大学“金融安全协同创新中心”资助项目(JRXT201301)
学科分类代码  
作者单位
周铭山 西南财经大学金融学院成都611130 
李四光 西南财经大学金融学院成都611130 
林靖 西南财经大学金融学院成都611130 
中文摘要
      构建了分析师两期荐股模型,解析分析师和投资者的利益冲突、分析师类型不确定性和基本面的不对称信息三者相互作用并影响股价发现有效性的作用机制. 分析结果表明: 关联分析师方的“激励扭曲效应”源于其受利益相关方干扰后进行策略性荐股谋取私利; 独立分析师方的“声誉激励效应”源于其受远期市场上“身份识别”困扰等利他动机进行策略性荐股; 激励扭曲效应、声誉激励效应与价值投资者的策略性解读偏差共同导致分析师信息发现加工效率受损和股票市场有效性下降; 这一作用机制并不依赖于非策略性市场参与者假设; 常见的分级荐股方式有助于约束分析师的声誉激励并降低跨期效率损失. 这些结论为完善分析师薪酬考核机制、强化特定时点信息披露、分析师声誉市场培育、建立长效追踪制度和引入适当的长期责任承担制度提供了理论支撑.
英文摘要
      This paper constructs a two-period model of stock recommendations to investigate how the interaction between analysts’incentive conflicts,analyst type uncertainty and market asymmetric information influence the stock price responsiveness. The results show that due to non-neutral incentive and reputation concerns regarding“status identification”,strategic reporting behavior will arise for both affiliated and independent analysts respectively. Analysts’strategic reporting,which is driven by incentive conflicts and reputation concerns,together with investors’strategic interpretation,will lead to decreasing information quality and increasing stock price volatility. Our results are independent of the non-strategic player assumption,and we also find that categorical ranking systems will help to reduce stock market volatility. These results provide theoretical supports for policies such as improving analyst’compensation schedule,strengthening information disclosure,cultivating analyst’reputation market,establishing long-term tracking system and appropriating accountability system.
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