分析师评级、投资者情绪与资产误定价

新兴资本市场普遍存在着资产误定价金融异象.在传统金融理论无法解释的情况下,可以行为金融学的相关理论,从分析师评级出发,通过投资者情绪传导,与资产误定价三者之间建立分析逻辑.通过对2009-2015年625家上市公司第一季度数据进行面板数据回归和有调节的中介效应检验,结果发现:分析师的乐观评级及调级会引起价格向上的资产误定价扩大,价格向下的资产误定价减小;乐观评级会比悲观评级引发更大程度的资产误定价;机构投资者的调节作用不显著;分析师评级及调级对资产误定价的影响是通过投资者情绪变化作为中介传导的.根据研究结论,如能在政策层面通过加强分析师队伍管理、强化投资者教育、提高机构投资者的业务素养,就能提高分析师评级的科学性与准确性,促使投资者正确对待分析师评级信息,从而减少乃至消除资产误定价,促进资本市场健康稳定发展.

Analyst Ratings, Investor Sentiment and Asset Mispricing

Generally, on a newly-emerging market exist financial anomalies, which cannot be explained by the traditional financial theory. Based on the theory of behavioral finance, starting from analyst ratings, through investor sentiment and asset mispricing, this paper establishes the analytical logic among the three. By adopting the panel data regression for the first quarter data of 625 listed companies from 2009 to 2015, with the adjustable mediating effect test, this paper studies the effect of analyst ratings on asset mispricing, the moderating effect of institutions and the mediating effect of investor sentiment. The results show that optimistic ratings and rating change of the analysts will increase the upward mispricing, and decrease the downward mispricing. The analysts'' optimism ranking leads to a bigger mispricing than pessimistic rating. The moderating effect of institutions is not significant, and investor sentiment is a mediator variable in the process.