THE JOURNAL OF ACCOUNTING RESEARCH · VOL. 52, NO. 3 · JUNE 2014

紧闭门后的一瞥：买方研究的长期投资价值及其对基金交易和业绩的影响

作者：Michael Rebello (The University of Texas at Dallas - Naveen Jindal School of Management), Kelsey D. Wei (Division of Research and Statistics - Federal Reserve Board)

摘要：我们检验在一个大型基金管理公司工作的买方分析师进行的专有研究。我们发现买方研究具有一年期的投资价值，并且进行这项研究的分析师展现出不同的能力，这种能力往往会随着时间的推移而持续下去。买方研究显著影响公司基金所做的交易，特别是当它传达独立于基金经理自己拥有的信息之外的信息时，当它由具有良好记录的买方分析师产生时，以及当标的股票很少有卖方报道时。卖方研究的影响主要集中在没有买方分析师跟进的股票和买方总体报到率较低的基金上。更多依赖买方研究的公司基金产生更卓越的业绩。

关键词：买方研究；基金管理；投资价值

A Glimpse Behind a Closed Door: The Long-Term Investment Value of Buy-Side Research and Its Effect on Fund Trades and Performance

Michael Rebello (The University of Texas at Dallas - Naveen Jindal School of Management), Kelsey D. Wei (Division of Research and Statistics - Federal Reserve Board)

ABSTRACT

We examine proprietary research produced by buy-side analysts working for a large fund management company. We find that the buy-side research has investment value for a one-year horizon, and the analysts producing this research exhibit differential ability that tends to persist over time. The buy-side research strongly influences trades made by the company's funds, especially when it coveys information that is independent of the fund managers' own information, when it is produced by buy-side analysts with good track records, and when the underlying stocks have little sell-side coverage. The influence of sell-side research is concentrated primarily in stocks not followed by buy-side analysts and in funds with low overall buy-side coverage. The company's funds that rely more heavily on buy-side research generate superior performance.

Keywords: buy-side research; fund management; investment value

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12042/epdf

翻译：景薇