FINANCIAL MANAGEMENT · Volume 46, Issue 3· 2017

明星分析师，过度反应和同步性：来自中国和美国的证据

作者：Mingshan Zhou (Southwestern University of Finance and Economics, China), Jing Lin (Peking University, China), Yunbi An (University of Windsor, Canada)

摘要：这篇文章检验了明星分析师的报道、投资者过度反应和中美市场的股价同步性。我们发现在中国市场上明星分析师的报道会引起投资者的过度反应，从而使报道与股票价格同步性负相关。这种过度反应在主要被个人投资者投资的股票上尤为明显。相反地，我们在美国市场上发现明星分析师的报道与同步性正相关，而与投资者的过度反应无显著关系。我们的全部结论揭示了投资者的异质性本质是驱动明星分析师报道、过度反应和股价同步性三者关系的力量。

Star Analysts, Overreaction, and Synchronicity: Evidence from China and the United States

Mingshan Zhou (Southwestern University of Finance and Economics, China), Jing Lin (Peking University, China), Yunbi An (University of Windsor, Canada)

ABSTRACT

This paper examines star analyst coverage, investor overreaction, and stock price synchronicity in the Chinese and US markets. In China, we find that star analyst coverage can induce investor overreaction, such that it is negatively correlated with price synchronicity. This overreaction effect is particularly pronounced for stocks with primarily individual investors. In contrast, in the United States, we find that star analyst coverage is positively related to synchronicity and is not significantly associated with investor overreaction. Our overall findings imply that the heterogeneous nature of investors in a market drives the association among star analyst coverage, overreaction, and stock price synchronicity.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12164/full

翻译：吴雨玲