Journal of Financial & Quantitative Analysis. Volume 53, Issue 1 February 2018

金融分析师抑制了内部人的信息优势么？

作者：Andrew Ellul (Indiana University Kelley School of Business)

Marios Panayides (University of Pittsburgh Katz Graduate School of Business)

摘要：通过搜集和传播股价敏感信息，金融分析师理应通过对交易动态和市场质量的影响，降低内部人的信息优势。我们实证检验了分析师停止关注对股票流动性、价格发现和内幕交易可能性的影响。关注终止会破坏市场流动性和价格效率，导致更多的知情交易和更高可能性的内幕交易。这些影响的大小取决于内部人所有权的大小以及停止关注后管理者是否决定改善公司的信息环境。机构投资者能在一定程度上减轻但并不能消除停止关注带来的影响。

Do Financial Analysts Restrain Insiders’ Informational Advantage?

Andrew Ellul (Indiana University Kelley School of Business)

Marios Panayides (University of Pittsburgh Katz Graduate School of Business)

ABSTRACT

By collecting and disseminating price-sensitive information, financial analysts should reduce firm insiders’ informational advantage with a consequent impact on trading dynamics and market quality. We empirically examine the impact of complete analysts’ coverage termination on stocks’ liquidity, price discovery, and insider trading profitability. Termination leads to deteriorating liquidity and price efficiency, more informed trading, and higher profitability of insider trades. The magnitude of these effects depends on the strength of insiders’ ownership and on management’s decision whether to improve the firm’s information environment after coverage termination. Institutional investors alleviate, but do not eliminate, the negative effects of termination.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/do-financial-analysts-restrain-insiders-informational-advantage/98C9E3EFFED2DB5598E96429D790651F

翻译：汪国颂