Journal of Financial Markets Volume 24, June 2015, Pages 49–65.

卖方分析师乐观预测的非对称效应与经纪市场客户份额

作者：Andrew Grant, Elvis Jarnecic, Mark Su (H69 Business School Building, Cnr Codington and Rose Sts, Darlington, NSW 2008, Australia)

摘要：我们在文中首次论证了经纪人的不同客户群体对盈利预测和股票推荐的反应。乐观的盈利预测带来更高的交易量；另一方面，相较于主要面向机构的经纪公司，隶属于零售经纪公司的分析师更乐忠于推荐股票。我们同时发现，买入交易的份额（即买单量）在分析师推荐意愿增强时获得极大提升，而卖出交易的份额在分析师推荐意愿减弱时上升。这一效应在零售客户中更显著。

关键词：市场微观结构；分析师预测；分析师动机

Asymmetric effects of sell-side analyst optimism and broker market share by clientele

Andrew Grant, Elvis Jarnecic, Mark Su (H69 Business School Building, Cnr Codington and Rose Sts, Darlington, NSW 2008, Australia)

ABSTRACT

This paper provides evidence for the first time on how different broker clienteles react to earnings forecast and stock recommendations. Greater trade volume is found to be associated with optimistic earnings forecasts while stock recommendations are stronger for analysts affiliated with retail brokerage firms than those affiliated with institutional brokerage firms. We also find that the market share of buy volume (that is, volume from buy orders) substantially rises on recommendation upgrades while the market share of sell volume rises on recommendation downgrades, and that this effect is stronger for retail clientele.

Keywords：Market microstructure; Analyst forecasts; Analyst incentives

原文链接：

http://www.sciencedirect.com/science/article/pii/S1386418115000282

翻译：黄怡文