摘要
由西方的研究文献得知,证券分析师是成熟资本市场的重要力量,卖方分析师作为信息中介,他们连结着投资者和上市公司,是公司信息的重要传播者。为了有效地向市场输送信息,提高股价的信息含量,他们会密切跟踪所覆盖上市公司,通过研读业绩报告、调研等广泛的渠道,尽可能地搜集整理影响资产价格的各种市场信息及公司信息。之后,他们采用一定的估价方法和自身对行业公司的系统性理解,做出有价值的投资分析。最后,将含有盈余预测及投资建议等内容的研究报告发布给投资者,从而增加了投资者认知的广度与深度,有效的保证了市场流动性,提高了公司的融资效率。
然而,众所周知,中国证券市场有别于美国成熟的资本市场,目前仍处于新兴加转轨阶段。证券分析师的前身被称为股评家。由于在起步阶段,没有健全的法律制度的约束,资本市场上出现了大量误导投资者的股评家,其中部分股评家已然成为了股市噪音源。他们利用虚假信息误导投资者,通过与庄家相互勾结,操纵股价,严重损害了投资者的利益及自身的声誉。尤其是证券市场上一系列内幕交易事件的曝光,这些以投资咨询为生的股评家也再次被推到了风口浪尖上,他们被贴上了“股市黑嘴”,的标签。直到20世纪90年代中后期,有一部分“股评家”开始分化出来,逐渐发展为现代意义上的分析师。随后,行业道德规范的出台及机构投资者的发展,尤其是QFII制度的引入,卖方分析师时代真正到来了。
伴随着证券分析师如火如荼的发展,他们是否摆脱了“股市黑嘴”的命运,或者说证券分析师误导投资者的系统性行为是否依然存在,而这正是本文非常关心的问题之一。另外,本文非常关注的另一个问题是,当越来越多的上市公司热衷于投资者关系管理,尤其积极吸引分析师的跟踪(或关注)时,我们不仅要问,上市公司为何如此的重视分析师的关注,究竟分析师的关注为公司的融资带来了怎样的影响呢?本文在我国新兴加转轨的资本市场环境下,重新审视了分析师跟踪的市场功能。
目前,国内在证券分析师的研究方面,因其行业发展的历史短,数据资源匮乏,仍处于起步阶段,缺乏系统性的分析,并且绝大多数的研究围绕着分析师预测的信息内容及分析师预测较管理层预测、统计模型预测的相对准确性等问题展开研究。而关于分析师跟踪的研究极少,因此基于该问题的重要性及相关研究还较为匾乏的考虑,尽快开展有关分析师跟踪与市场效率的实证研究,无论对于增强人们对于证券分析师这一中国资本市场新生事物的了解和认识,还是补充丰富该领域的研究,都具有十分重要的意义。
本文以档案研究为主要研究方法,通过分析证券分析师作为信息中介角色参与证券定价的过程,阐释了证券分析师在实现证券市场信息效率及融资效率方面的独特作用。本文未从分析师预测的信息内容角度入手,而是以分析师跟踪这一重要指示变量为切入点,研究了证券分析师在促进市场信息有效性方面所发挥的作用。具体来说,证券分析师作为上市公司与投资者的信息桥梁,他们的跟踪(或关注)能否通过影响股价信息含量,提高信息传播效率,从而摆脱“股市黑嘴”的阴影呢?进一步的,证券分析师的跟踪对公司的融资效率产生了怎样的影响?在这一问题的探讨中,本文重点考察了分析师跟踪与融资效率的关系,即证券分析师在降低融资成本及融资模式的选择中是否有着实质性的影响力。在研究中,没有直接检验分析师跟踪与融资成本之间的关系,而是利用Euler投资方程模型从一个侧面推断得出。原因是,公司的投资现金流敏感性是与外部融资成本紧密相连的,同时该模型又将公司的投资与融资紧密的结合在一起,很好的揭示了公司的融资效率,与本文的研究非常吻合。
本文的研究内容分为7章,安排如下：第一部分,即本文的第一章。该部分提出了本文研究的问题、研究意义、研究思路与研究方法等。第二部分,理论分析与制度背景。为了更深入的对下文进行研究,本章阐述了相关的理论分析与制度背景。第三部分,文献回顾。本章按照行文思路对涉及到的经典文献进行了串联回顾,对前人的研究进行了系统的整理与总结。并从中发现成熟资本市场上的财务金融学者们对分析师跟踪的研究较多。而新兴资本市场的研究较少。
第四部分是本文实证研究的主体部分之一,主要研究了分析师跟踪与信息效率的关系。目前学者们就证券分析师究竟向投资者提供的是市场层面的信息抑或是公司层面的信息展开了热烈的讨论。本部分利用股价同步性作为股价信息含量的代理变量,检验了证券分析师能否通过跟踪上市公司,挖掘并向市场释放公司特质信息,而非市场信息,由此影响股价信息效率。研究结果表明证券分析师向市场提供了公司层面信息,降低了公司与外部投资者之间的信息不对称程度,提高了股价信息含量。另外也发现分析师跟踪能够有效减少股价暴跌现象。
第五部分-第六部分主要研究了分析师跟踪对公司融资效率的影响。具体来说,第五部分主要研究了证券分析师能否通过影响公司内外投资者之间的信息不对称,降低其融资成本,缓解公司的融资约束,从而影响公司的融资效率。本部分的实证研究以FHP的投资现金流敏感度与融资约束的相关关系为基础,在Euler投资方程模型里加入分析师跟踪变量,通过观察投资现金流敏感性的变化以验证我国的证券分析师是否有助于缓解公司的外部融资约束。在研究中,以终极控制人性质进行分组检验,在Gugler (2003)的研究基础上,根据我国的实际情况,将政府干预程度较轻的国有控股公司界定为融资约束组,将民营控股公司以及政府干预程度较为严重的国有控股公司定义为代理冲突组,通过实证检验得出,分析师跟踪能够通过影响公司的信息不对称程度进而缓解公司的外部融资约束。本文研究结果为上市公司管理层应重视并积极实施投资者关系管理提供了经验证据。
第六部分主要研究了分析师跟踪具体是如何影响公司的融资能力及融资结构安排的。具体的说,其对债务融资(债务比率的高与低)、权益融资(权益融资额大、小)如何影响?本部分主要采用OLS模型与MLOGIT模型进行实证分析,在控制公司特征因素下,实证研究分析师跟踪对公司融资效率的影响。研究发现,分析师跟踪对于公司的权益融资具有显著影响,并且这种影响随着公司规模的不断增大而降低。另外,较大额权益发行而言,分析师跟踪人数越多,公司发行小额权益的概率越大；分析师意见分歧度与公司债务融资可能性成正相关关系。其值越大,即分析师预测一致性越小,即公司进行债务融资的可能性就越大。由此从资本市场微观主体-证券分析师的市场功能着手,丰富了企业融资决策研究的文献成果。
第七部分研究结论与局限性
本章对前三部分主体结论进行了归纳总结,并且指出了研究中无法克服的困难及研究局限性。同时也拓展了未来的研究方向。
本文的创新点主要体现在以下几方面：
(1)目前，国内关于分析师盈余预测和荐股的价值研究、我国证券分析师的信息来源及分析能力研究及分析师的利益冲突研究较多。而关于分析师跟踪或者分析师关注的研究很少。
与现有的大多数研究不同的是,本文基于我国转型经济的特殊国情背景,从资本市场信息有效性及资源配置效率的角度研究了分析师跟踪的市场功能。现有的关于分析师跟踪的研究仅从单一的角度进行了论证,本文不仅从资本市场信息有效性的角度进行了论证,而且也研究了分析师跟踪对资产定价的影响,对公司融资结构的影响。因而本文的研究更系统、更全面。
(2)国内现有文献大多是从公司财务特征因素的角度研究其对资本结构的影响。如公司盈利能力、公司规模、公司的成长性及资产结构等。鲜有文献研究公司的外部因素如何影响融资结构具体类型(债务融资比率的高与低、权益融资额大小等)。本文研究了在我国新兴资本市场环境下,作为扮演信息中介这一重要角色的证券分析师是否影响了公司的融资决策。可以说,本文从资本市场微观主体-证券分析师的市场功能着手,丰富了现有的关于公司融资理论的研究成果。
(3)分析师跟踪、分析师预测准确性及分析师预测一致性是分析师预测属性的三个重要组成部分。国外关于分析师预测属性的研究无论是规范研究还是实证研究较多。而国内集中研究分析师预测属性的文献寥寥可数,并且现有的文献仅从规范研究的角度作了简单阐述。本文除了重点研究分析师跟踪的影响之外,也同时也研究了分析师预测准确性及分析师预测一致性的影响。因而本文的研究在现有文献的基础上又增添了一份可供参考的资料。
Learned from the Western literature, the securities analyst is very important force of the mature capital market, sell-side analysts who serve as information intermediary link with investors and listed companies and are very important disseminators of company information. In order to effectively convey information to the stock market and raise the information content of stock price, they will closely follow the covered listed companies, through reading the financial statements and having an interview studies and other extensive channels, as far as possible to collect various information which influence asset prices,such as market information, industry information,company information and so on.Subsequently they use certain valuation methods and make a valuable investment analysis. Finally, the research report with earnings forecast and investment suggestions will be released to investors, thereby increasing the breadth and depth of investor awareness and effectively ensuring market liquidity, eventually it enhance the financing efficiency of listed companies.
However, as we all know, China stock market is different from the U.S. mature stock markets and is still in the emerging and transitional stage. As we all know, the capital market of China is different from the U.S. capital markets. And now it is still in the emerging and transitional stage.The predecessor of the securities analyst is called stock reviewer. Without sound legal system in the initial stage of development, a lot of stock reviewers misled investors by use of false information and some of them become noise source of stock market. The behavior of manipulation of stock prices seriously damaged the interests of investors and its own reputation. With a series of cases of insider trading explosed, investors have begun to question the value of the information released by the securities analyst, and they are labelled black mouth of the stock market. Until the late 1990s, some of them have begun to differentiate out, and gradually developed into the securities analyst with modern significance. Soon after, with the introduction of code of professional ethics and the development of institutional investors, especially the introduction of QFII, the times of sell-side analyst has arrived.
The question that we are concerned about is whether they get rid of the bad reputation of black mouth of stock market, or whether the securities analysts' systematic behaviour of misleading investors still existed.In addition to that, another question has come into our notice. When more and more companies are keen to the management of investor relations, in particular, attracting of analysts following (or concerns), then we have to ask why the listed companies do that. Or to put it another way, what's the impact of analyst following on corporate financing? In this paper, we re-examine the market function of analysts following under the environment of the emerging and transitional capital market.
China stock market has the unique mechanism of operation and monitoring. Corresponding to it, the securities analyst groups also has its own characteristics in the knowledge structure, work experience and the relationship of the interests Therefore, whether or not the conclusions of the study abroad apply to China need further research.
At the present time, the domestic research about the market function of analyst following is still in its infancy, because of its short history and scarce data resources. Existing studies have been scattered and lacked of systematic analysis. Among these studies, most scholars have centered on the issue of information content of analyst forecasts and accuracy of analyst forecasts relative to the prediction of the statistical model and management forecasts, and only few studies centered on the issue of analyst following, So we should as quickly as possible carry out the research on the market efficiency of analyst following. Besides that, it is of great significance for enhancing the learning about the market function of the securities analyst.
In this paper, I adopt archival research to analyze the role of securities analysts as information intermediaries involved in the process of stock pricing and explain the unique function of securities analyst in the realization of financing efficiency of the stock market. I treat analyst following which is an important indicator variable as the breakthrough point, and study the function of analyst following in the promoting the effectiveness of market information.
If the securities analyst can improve the efficiency of information transmission, then the next question we face is that what role the securities analysts play in promoting the efficiency of resources allocation. In the following discussion, I examine the impact of analyst following on the financing efficiency such as financing cost, the arrangement of financing structure and financing capability. As to the study of financing cost, I haven't directly test the relationship between the analyst following and financing cost, but inferred from one side by using the investment model of Euler equation. The reason is that the company's investment cash flow sensitivity is closely related to the cost of external financing in this model, furthermore this model make the investment and financing of the company closely together which well reveal the financing efficiency.
This paper is divided into seven chapters, as follows:
In the first part which is the first chapter of this article, I propose the problem, significance, research ideas and research methods. The second part is about theoretical analysis and system background. The third part is literature review. According to the research ideas of this paper, I have conducted a review of classic literature and systematically organized and summarized it. From it, I find in spite of the much more studies about mature capital markets, there are rather few studies about emerging capital markets.
The fourth chapter is one of the core of this paper, and in which I examine the relation between analyst following and information efficiency. At present, scholars have heated discussion about whether the securities analysts provide the investors with market-level information or the company level information. We use synchronicity of the stock prices as a proxy for information content of stock price and test whether the securities analyst can release the idiosyncratic information about the company which is tracked, rather than market level information and industry information, and promote the information efficiency of the stock price. The results of the fourth chapter show that the securities analysts have provided the investors with firm level information which reduced the information asymmetry between the managers of the company and outside investors, and then enhanced the information content of the stock price. In addition to that, I have also found that the securities analysts can effectively inhibit the phenomenon of the crash of stock price.
In the fifth and sixth chapter, I have discussed the impact of analyst following on the financing efficiency. Specifically, in the fifth partⅠhave researched whether the securities analyst can alleviate the financial constraints of the company by affecting the information asymmetry between the managers and the outside investors and thus promote the financing efficiency of the company. That is to say, from the perspective of information intermediary. I have studied the market value of the securities analyst. In the process of the empirical research, I have added the variable of analyst following to the Euler equation investment model and observed the changes of investment-cash flow sensitivity to verify whether or not the securities analysts have alleviated the external financing constraint.The result has showed that analyst following can significantly reduce the high investment-cash flow sensitivity of the private enterprises. So the main hypothesis is confirmed. The result of this paper has also provided empirical evidence for the manager of listed company actively implementing the investor relations management.
In the sixth chapter, I have mainly studied how the securities analysts affect the financing capacity and the arrangement of financing structure, controlling the factor of the company features, I have adopted OLS model and Mlogit model to conduct this research.The result show that analysts has a significant effect on the equity financing of the listed, and the effect has gradually weakened with the company's growing size. In addition, when the company followed by more analysts, compare with the probability of the larger amount of equity issuance, the company has the greater probability of issuing small amount equity. At the same time, we found that analyst dispersion is positively correlated with the possibility of debt financing. Our research from the angle of market function of securities analysts has opened up a new research directions for the study of corporate finance theory.
The seventh chapter is about the conclusions and study limitations. In it, we have summarized the main conclusions and pointed out the difficulty which can't be overcome and study limitations. At the same time, I have also proposed the direction of future research.
The innovation of this article lies in as following:
At present, more scholars have studied the value of earning forecast, information channels, interest conflicts that the securities analysts faced with and so on. So few scholars pay close attention to analyst following.
Firstly, based on the study background of China's transition economies, I have studied the market function of analyst following mainly from the perspective of information efficiency and resource allocation efficiency. Compare to the existing research, this article is more systematic and comprehensive.
Secondly, in China, many scholars research the financing strategy of the listed from the perspective of financial characteristics.For example, profitability, size, growth, asset structures and so on. Few scholars studied how the company's external factors affect the specific type of financing structure, such as the size of debt-financing ratio, the size of equity financing, etc. The purpose of this article was to test how the securities analysts affect the company's financing decision in China's emerging capital market environment. Our research from the angle of market function of securities analysts has opened up a new direction in the corporate financing theory.
Thirdly, analyst following, the accuracy of analyst forecasts, and the consistency of analyst forecasts are three important components of the attributes of analyst forecast. In western countries, the related research is much more than in China, whether normative study or empirical study. Besides the research on analyst following, this article has also discussed forecast accuracy and consistency of the securities analysts. Therefore it added to some new references for the existing literature in China.
引文
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