天使还是魔鬼?——分析师媒体荐股的市场效应

利用证券分析师在《中国证券报》、《上海证券报》、《证券时报》上发布的荐股信息,研究分析师媒体荐股的市场反应、效率及其对财富流动的影响.结果表明:1)媒体荐股信息对市场,特别是对个人投资者的行为产生了强烈影响;2)媒体荐股信息公布后,被推荐股票存在显著为负的超额收益,这一现象在下跌行情时表现尤为突出;3)媒体荐股信息影响了市场财富的流动,个人投资者依赖于荐股信息的买入行为给他们带来了显著损失.研究结果一方面说明媒体发布的荐股信息质量低下;另一方面也证实媒体荐股行为中存在内幕交易和利益输送的现象,直接导致个人投资者的财富流向机构投资者.

Angel or devil? Market effects of media recommendations

This paper manually collected data of analysts' recommendations published in the three largest Chinese security newspaper and investigates the potential investment value and market impact of media recommendations.Empirical results show that: 1) media recommendations have significant impacts on the trading behaviors of individual investors;2) there are significant negative abnormal returns after the release of media recommendations, which is particularly prominent in the bearish market;3) media recommendations affect the transfer of market wealth and lead to a direct loss of individual investors.Our study indicates that security analysts in the Chinese market have a poor ability in discovering market information and that there is a possibility of insider trading and interest transfer behavior in the emerging markets.