,Altinkilic and Hansen(2009) First Call

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1 ( 280 ) China Industrial Economics July, 2011 No.7, (, ) [ ], ,,,, [ ] ; ; [ ]F [ ]A [ ] X(2011) ,,, :2011 3,,,,,,?, Elton et al.(1981) Cornell and Landsman(1989) Stickel(1995) Francis and Soffer(1997) Asquith et al.(2005) Zhang (2008),,,,Altinkilic and Hansen(2009) First Call : 140 [ ] [ ] ( 2009JYJR042); ( 2010B048) [ ] (1977 ),,, ; (1986 ),,,

2 ,,, (2003,2005) :, (2009) : 3,,,?,?,,,,, 1: (T<0) 2: (T 0) 1, 1 : 1: =C+β 1 +β 2 +β 3 +β 4 +β 5 + β 3,,,,,,,, 2, 2 : 2: =C+β 1 +β 2 +β 3 +β 4 +β 5 +β 6 + β 5, ( ) ( ),,,, ( ),, 1. (1), , 141

3 , 7659 ( 1661 ) ( 5998 ), (2) 1 Wind, 1 5 :1, 2,3,4,5 rank 2 earn-cons earn-cons 1 3 MC (Bernard and Thomas,1989; Bhushan,1994) MC 4 R(-5) R(0) R(5) turnover(-5) 5 6,, (Patell,1976;Penman,1980;Bernard and Thomas,1990), guidance 1, 0 7 star=1, 0 2. : 1661, 218, 267, 1176 : Δrank i =C+β 1 (earn-cons) i +β 2 logmc i +β 3 R(-5) i +β 4 turnover(-5) i +β 5 guidance i +β 6 star+ε i (1) R(5) i =C+β 1 Δrank i +β 2 (earn-cons) i +β 3 logmc i +β 4 R(-5) i +β 5 turnover(-5) i +β 6 guidance+β 7 star+ε i (2) (1), logv(-5) (1) :1 earn-cons,, 2 R(-5),, :,,,,,,, 3 star 0, (2) :1 rank R(0) R(5), rank ,, 0.35% 0.55%, 2 earn-cons, : earn-cons,, Wind,, 3

4 1 OLS Δrank Δrank R(0) R(0) R(5) R(5) C ** *** *** (1.4909) (2.4519) (0.3510) ( ) (3.3872) (3.5037) Δrank *** *** ** ** ( ) ( ) ( ) ( ) earn-cons E E E E-05 ( ) ( ) (1.6096) (1.6009) (0.8782) (0.8281) logmc *** -7.49E *** *** * ( ) ( ) ( ) (1.5317) ( ) ( ) R(-5) *** ** *** *** ** *** (2.7844) ( ) (4.6362) ( ) ( ) ( ) turnover(-5) ** ** (2.5308) ( ) ( ) logv(-5) ** * (2.1022) ( ) ( ) guidance * * ( ) ( ) ( ) ( ) (1.8055) (1.7782) star E E ( ) ( ) (0.0346) (0.0396) ( ) ( ) R F *** *** *** *** *** *** : t,*,**,*** 10%,5%,1%,,,,,, 3 star 0,, 3. :, 5998, 999, 678, 4321 : Δrank i =C+β 1 logmc i +β 2 R(-5) i +β 3 turnover(-5) i +β 4 star+ε i (3) R(0) i =C+β 1 Δrank i +β 2 logmc i +β 3 R(-5) i +β 4 turnover(-5) i +β 5 star+ε i (4) 2, (3), R(-5) 5% 10%,, (1), 143

5 ,,,,,, 2, (4), Δrank 1% 10% : R(0) R(5), Δrank ,,, 0.2%,,, 2 OLS Δrank Δrank R(0) R(0) R(5) R(5) C *** *** * (3.4795) (4.2092) ( ) (0.0704) (0.7063) (1.7408) Δrank *** *** * * ( ) ( ) ( ) ( ) R(-5) ** * *** *** *** *** ( ) ( ) (3.8283) (3.8404) ( ) ( ) turnover(-5) ** ** (2.2222) ( ) (1.3157) logv(-5) ** *** * (2.2474) ( ) ( ) logmc *** *** *** ( ) ( ) (0.7253) (4.2176) ( ) (0.2692) star E E (0.2568) (0.4578) (0.0325) (0.0409) (0.0484) (0.0434) R F *** *** *** *** *** *** , , t,,, ,, 1,, :,?, 1,, 144

6 ,, 1., WIND, ,,,, ;,, (WIND),, ( ),,, ( ) : ; ;, 1,,,,,, ( ),,, (Optimism Bias) 2.,, : , 110,,,,,,, ; 1,, ;,, 145

7 , ;,,,,,,,,,, ;,,, ,,,,,,,, star 0,,, :,,,,,, 4. Scharfstein and Stein (1990),Graham(1999),Hong, Kubik and Solomon(2000),Clement and Tse (2005) :,,,,,,, (Sharing the Blame),,,,,, 146

8 ,,,,,,, 1.,,,,,,,, :,,, ;,,,,, 2.,,,,,,,,, CFA,,,,,, 3., 147

9 ,,,,,,,,, ;,,, ;,,,, ;,,,,,,, (Information Agents), (Grossman and Stiglitz,1980),,, ,,,,,,,,,,,,, 1 Altinkilic, and Hansen. On the Informativeness of Analyst Recommendations [R]. Manuscript, Tulane University Asquith, P., M. Mikhail, and A. Au. Information Content of Equity Analyst Reports [J]. Journal of Financial Economics, 2005,(75). 148

10 3 Atkins, A., Dyl, E. Price Reversals, Bid -ask Spreads, and Market Efficiency [J]. Journal of Financial and Quantitative Analysis, 1990,(25). 4 Bernard, V. L., J. K. Thomas. Post-earnings-announcement Drift: Delayed Price Response or Risk Premium[J]. Journal of Accounting Research,1989,(27). 5 Bernard, V. L., J. K. Thomas. Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings[J]. Journal of Accounting and Economics, 1990,(3). 6 Bhushan, R. An Informational Efficiency Perspective on the Post-earnings Announcement Drift [J]. Journal of Accounting and Economics, 1994,(18). 7 Cornell, B., Landsman, W.R. Security Price Response to Quarterly Earnings Announcements and Analysts Forecast Revisions[J]. The Accounting Review,1989,(64). 8 Elton, E. J., M. J. Gruber, M. Gultekin. Expectations and Share Prices[J]. Management Science 1981,(27). 9 Francis, J. & L. Soffer. The Relative Informativeness of Analysts Stock Recommendations and Earnings Forecast Revisions[J]. Journal of Accounting Research, 1997,(35). 10 Grossman, S. J., Stiglitz, J. E. On the Impossibility of Informationally Efficient Markets[J]. American Economic Review,1980,(70). 11 Lloyd-Davies,P.,Canes,M. Stock Prices and the Publication of Second-hand Information [J]. Journal of Business, 1978,(51). 12 Patell, J. M. Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Tests [J]. Journal of Accounting Research, 1976,(14). 13 Penman, S. H. An Empirical Investigation of the Voluntary Disclosure of Corporate Earnings Guidance [J]. Journal of Accounting Research, 1980,(18). 14 Stickel,Scott E. The Anatomy of the Performance of Buy and Sell Recommendations [J]. Financial Analysts Journal,1995,(51). 15 Zhang, Y. Analyst Responsiveness and the Post-earnings-announcement Drift [J]. Journal of Accounting and Economics,2008,(46). 16,,. [J].,2003,(12). 17,. [J].,2005, (2). 18. : [D].,2009. Why Analysts Just Piggyback Market Information Empirical Study and Governance Mechanism Based on Market Reaction CAI Qing-feng, CHEN Jiao (School of Economics, Xiamen University, Xiamen , China) Abstract: For the recent years, the quality of security analysts reports is widely questioned by investors. By using an event -study method, this paper carries out an empirical study on market reactions of 5998 research reports with a time -span from Jan 1st, 2006 to Dec 31th, The study results imply that the analysts recommendation indeed piggyback the information existed in the market. The piggybacking behavior result in providing limited new information, rely on which, the investors could barely reap excessive returns. The extensive running mode of research department of security firms, frequent turnover of security analysts and career concerns of young security analysts are all the primary causes for security analysts reiterating information and dissatisfactory information quantity and quality. On this basis, this paper discusses on relative supervision and regulation procedure through three aspects such as supervision watchdog, industry association and analysts themselves. Key Words: securities analysts; information; market reaction : 149