Financial Analysts,Firm Quality,and Social Responsibility

We suggest that financial analysts have an incentive to follow the stocks of socially responsible companies, because such stocks meet the growing demands and psychology of the investment community, who want to combine the usual investment goals with social responsibility. Socially responsible investors prefer to hold stocks of companies they perceive as socially responsible or of high quality. Financial analysts then help brokers' marketing efforts by supplying investors with more analysis for stocks of socially responsible or high-quality companies. Using scores from Fortune surveys on perceptions of community and environmental responsibility as a measure of social responsibility and Fortune survey measures of quality as a measure of company quality, we find evidence that stocks of socially responsible and high-quality companies are indeed followed by more financial analysts. The positive relationship among social responsibility, company quality, and analyst following remains significant even after controlling for the effects on analyst following of firm size, share price, the volatility of stock returns, and market-to-book value of equity.     

政商关系、分析师预测与股价同步性——基于腐败官员落马的准自然实验

关系型交易会影响分析师的信息传递效率,进而对企业的信息环境产生影响.文章基于腐败官员落马这一准自然实验对上述假说进行了检验.文章以2005?2011年与24位省部级以上落马高官有关联的企业为样本,研究了政商关系的外生变化对分析师行为和企业信息环境的影响.文章基于双重差分模型,发现腐败官员落马后,与之关联企业的分析师预测准确性提高,预测分歧度降低,分析师跟踪数量增加,企业股价同步性降低.进一步检验发现,在官员落马影响关联企业股价同步性的过程中,分析师发挥了中介作用.可见,反腐能够降低分析师获取信息的门槛,提高分析师传递信息的效率,进而改善企业信息环境.     

分析师预测信息来源的新发现:会计师事务所

文章通过检验券商与公司聘任同一家会计师事务所对券商旗下分析师预测行为的影响,研究了证券分析师的预测信息是否可能来源于会计师事务所.研究发现:(1)分析师更愿意跟踪与所属券商聘任同一家会计师事务所的上市公司,对其发布的盈余预测更准确,也更倾向于额外发布现金流预测.(2)券商与公司从非同聘会计师事务所变更为同聘会计师事务所,其分析师预测的准确性提高,反之则降低.分析师对与所属券商聘任同一家会计师事务所的公司在年报披露前最后一次盈余预测的准确性有更大幅度的提高.(3)同聘会计师事务所对预测准确性的促进作用集中在分析师跟踪少和收入变化大的公司以及非明星分析师发布的预测.文章的研究有助于理解同聘会计师事务所对分析师预测行为的影响,也有助于资本市场上的投资者更好地利用同聘会计师事务所的券商旗下分析师发布的预测报告,拓展了分析师预测信息来源的研究.     

基于文本挖掘的管理层语调对公司债券信用利差的影响*

本文选取2012-2017年在中国A股市场发行债券的非金融企业为样本，探讨了会计文本语调对债券信用利差的影响。本文建立了适用于中国金融市场的情感词典，并使用文本挖掘技术量化了管理层语调。研究发现：积极的管理层语调能够显著降低债券信用利差。且分析师关注度越高，管理层语调与债券信用利差之间的负向关系越弱。此外，债券市场对国有性质和低股权集中度企业的管理层语调反应更强烈。本文为会计文本语调与债券定价研究提供了有益的启示。     

Analyst coverage and stock return synchronicity: evidence from regulation changes in China’s IPO market

This article investigates the relation between analyst coverage and stock return synchronicity in the IPO market. Using a unique data set in China from 2005 to 2012, we find a significantly different effect of analyst coverage on synchronicity before and after the implementation of important 2009 IPO regulation changes in China. Specifically, we document that analyst coverage reduces synchronicity but that this effect is significant only after 2009. In addition, we extend this research to further distinguish the information production role of underwriter and independent analysts. We find that prior to 2009, underwriter analysts’ coverage decreases synchronicity but independent analysts’ coverage does not. However, in the post-2009 period, both types of analyst coverage are significantly and inversely associated with synchronicity. Overall, our results support analysts’ role as producers of firm-specific information in an emerging IPO market and shows that this role depends on the institutional environment.     

行业分析师盈利预测偏差的新解释

对于卖方行业分析师(简称分析师)盈利预测偏差的现象,本文提出一个新假说,即作为理性投资的代表者——分析师的盈利预测偏差会受到投资者情绪或噪音交易的影响,并通过我国的数据证实了该假说。首先,通过实证研究,发现国内行业分析师盈利预测存在系统性的偏差。其次,构造月度投资者情绪指数,通过非参数和参数的统计方法,针对盈利预测偏差的时间序列和面板数据两组数据,证明了情绪是分析师盈利预测偏差的一个重要因素。国际文献中对分析师偏差的绝大多数理论解释通常是基于经典金融学的框架,即假设分析师是完全理性的,其偏差主要来自利益驱动(他们供职的机构或个人利益最大化)。而本文认为情绪和利益驱动因素相结合才能更好地解释分析师预测的偏差。     

国有企业与非国有企业信贷约束的差异研究——基于现金一现金流敏感度的分析

根据现有理论,国有企业和非国有企业信贷约束的差异是理解中国经济失衡的关键,本文利用近年来公司金融文献中提出的现金一现金流敏感度的分析方法,以中国A股上市企业1990—2010年的数据为样本,研究了中国国有企业与非国有企业存在着的信贷约束差异。其基本计量模型回归结果表明,非国有企业的信贷约束更强,而国有企业则不存在信贷约束。随后,采取的稳健性检验结果表明非国有企业受到了信贷约束,而国有企业则没有受到信贷约束这一结论具有稳健性。     

税负抑制了公司投资吗?——基于国有股权私有收益的解释

文章分析了税负对公司投资决策的影响.与民营控股股东不同,作为国有企业的最终股东,政府不仅可以获得与股权投资相关的收益,而且可以获得独占性的税收,独占性的税收收入越高,政府控股的私有收益越大.因此,国有企业在投资决策时不仅考虑税后现金流量,而且会关注相关的预期税负,这提高了国有企业的投资?预期税负敏感性;政府对税收的需求越大,国有企业的投资?预期税负敏感性越高.实证结果表明:(1)与民营控股上市公司相比,国有控股上市公司的投资与预期税负之间的负相关关系更弱;(2)随着注册地基础设施投资回报率的增加,国有控股上市公司的投资与预期税负之间的负相关性显著下降.因此,最大化税收收入也是国有企业投资决策的重要考虑因素.文章为我国股权结构在公司财务决策中的作用提供了新的研究视角.     

Performance sensitivity of non-executive compensation in China: The role of economic policy uncertainty

This paper examines the impact of economic policy uncertainty on non-executive employees from the perspective of pay-performance sensitivity (PPS). Economy-wide uncertainty can trigger adverse impacts for businesses, and in response enterprises may adjust employee pay to maintain their level of activity. Using firm-level data on A-share companies listed on the Shanghai and Shenzhen Stock Exchanges during 2003–2016, this paper finds that better-performing firms pay higher wages on average, which they adjust only during uncertain times. We also show that the impact of economic policy uncertainty on PPS is more pronounced in the context of labor-intensive, highly competitive industries and state-owned enterprises, because they tend to respond to uncertainty via wage adjustment. The evidence demonstrates that the pay-performance link is much weaker during uncertain times, when different subgroups react differently. However, our finding of a robust pay-performance relation holds, even with a range of firm-level controls and accounting for different levels of firm heterogeneity.     

Does director affiliation lead to analyst bias?

This study examines the ability of security analysts to provide objective earnings forecasts for firms with which the analyst’s brokerage firm has a director affiliation. The affiliation that we examine is where the brokerage firm has, on its board of directors, a director or an upper management individual from the firm which an analyst at the brokerage firm provides coverage. We find that affiliated analysts tend to provide earnings forecasts that are insignificantly different from unaffiliated analysts in terms of accuracy. However, we also find that forecasts provided by affiliated analysts tend to be significantly more pessimistic than those provided by their unaffiliated counterparts. This pessimistic bias in their earnings forecast will more easily allow the covered firm to beat earnings expectations when earnings are realized. We find that this bias surfaced after the Global Settlement decision, an enforcement agreement between large investment banks and the Securities and Exchange Commission (SEC) regarding issues surrounding conflicts of interest.     

Visibility,Institutional Preferences and Agency Considerations

We show that market frictions and agency considerations are important concerns when institutional investors make portfolio allocation decisions. For a sample of widely followed firms, institutional holdings increase with increases in visibility as measured by the number of analysts following the firm. We also report a significant seasonal pattern in institutional holdings consistent with the gamesmanship hypothesis, which asserts that institutions rebalance their portfolios in response to agency considerations. Finally, we find that excess returns are highly seasonal with performance, deteriorating when the following by financial analysts increases. "Followed" firms actually exhibit inferior market performance over the 1981-1996 sample period.     

Analyst coverage and lawsuit risk

In this study, we use a unique, hand-collected dataset of employee lawsuits and study the impact of analyst coverage on labour relations. We find that an increase in analyst coverage lowers the work-related litigations. In addition, we show that an increased number of analysts lowers the litigation cost, measured by settlement fees and attorney fees. Our results suggest analysts have an important impact on employee relations. Our research enriches the literature on employment practices and analyst coverage.     

Corporate environmental disclosure, financial markets and the media: An international perspective

In this study, we analyze the information dynamics between corporate environmental disclosure, financial markets (as proxied by financial analysts' earnings forecasts) and public pressures (as proxied by a firm's media exposure). We adopt a comprehensive view of disclosure that encompasses environmental information that is both print-based as well as web-based. The sample comprises firms from both continental Europe (Belgium, France, Germany, and Netherlands) as well as North America (Canada and the United States). Relying on a system of equations that controls for endogeneity between environmental disclosure determination and financial analysts' work, we show that enhanced environmental disclosure translates into more precise earnings forecasts by analysts. Such effect is reduced for firms with extensive analyst following and in environmentally sensitive industries. However, these relationships are shown to be starker in Europe than in North America, i.e., environmental disclosure has a greater impact on analysts' forecasts but is also more greatly attenuated by analyst following and membership in an environmentally sensitive industry. Most observed relationships hold for either print- or web-based disclosure, except for North America in which web-based disclosure seems to have no impact on analysts' forecasting work.     

The effect of short sale constraints on analyst forecast quality: Evidence from a natural experiment in China

We examine the effect of short selling on analyst forecast quality following the pilot program in China in 2010 that allows short selling for selected companies. We find that reduction in short sale constraints significantly improves analyst forecast quality for these pilot-firms when compared to non-pilot firms. Specifically, analyst forecast errors for pilot firms are smaller and forecast dispersions are narrower. Further, we show that the improvement of analyst forecast quality is more prominent for firms with lower prior price efficiencies and disclosure quality, and in locations with lower institutional development. Our findings suggest that short selling activities serve an important role in facilitating the speed of information incorporation and improving the information environment faced by firms.     

Loan guarantees and the cost of debt: evidence from China

In this article, we examine the potential influence of loan guarantees and the nature of ownership on a company’s cost of debt. Using data on Chinese A-share listed companies from 2007 to 2014, we find that guaranteeing another entity’s debt significantly increases the guarantor’s cost of its own debt. Regarding the nature of ownership, our results indicate that the cost of debt for state-owned enterprises (SOEs) is lower than that for non-SOEs. Among SOEs, firms controlled by the central government have lower cost of debt than firms controlled by local governments. We also find some evidence that local government ownership mitigates the effects of loan guarantees on the cost of a guarantor’s own debt.     

Analyst Recommendations and Regulation: Scopes for European Policy Makers to Enhance Investor Protection

Investors rely on analyst recommendations when making investment decisions. Over the last few years, however, sell-side analysts have caught the attention of the supervisory authorities given their vulnerability to numerous conflicts of interest. In this paper, we empirically examine relevant regulatory measures that have an impact upon analysts’ activities, namely the market abuse directive and markets in financial instruments directive. We find that European regulators have primarily focused on mitigating conflicts of interest. However, to establish an environment of more sophisticated investor protection additional regulatory effort is required. Therefore, in this paper, we provide related empirical evidence and discuss proposals to correct regulatory shortcomings in order to strengthen investor protection in the European Union.     

我国上市公司正向盈余意外实现原因研究

通过分析我国上市公司正向盈余意外的实现原因,发现我国上市公司高管没有通过盈余管理或预期管理实现正向盈余意外,除了业绩较好的情况外,上市公司正向盈余意外的另一原因是分析师为与上市公司高管建立或维持良好关系以便获得私有信息,迎合上市公司高管造成的。可见,我国上市公司与分析师之间存在利益冲突,且利益冲突的主要来源是上市公司的选择性信息披露。因此,为规范我国证券分析师行业的发展,有必要提高证券分析师的独立性,完善信息公平披露制度,提高违背公平信息披露规则的违规成本。     

信息不对称、分析师关注度与增发折价

以2006—2010年间实施新股增发的我国沪深A股上市公司为样本,研究分析师关注度对增发折价的影响。研究发现:分析师关注度较高的上市公司具有较低的投资者间估值分歧和增发折价;分析师能力和盈余预测分歧对增发折价没有显著影响;分析师关注度的提高给分析师能力强的公司带来的增发折价降低幅度大于给分析师能力不强的公司带来的效果。     

Does the mixed-ownership reform improve the productivity of state-owned enterprises? Evidence from companies listed in Chinese stock

The Chinese government initiated a new round of state-owned enterprise (SOE) reform in 2015 to improve SOE's performance with a focus on introducing multiple ownership shareholders and strategic partners, known as the mixed-ownership reform (MOR). This paper examines the policy effectiveness of the current MOR, an ongoing quasi-experiment, for listed SOEs’ productivity from 2011 to 2019 using a time-varying difference-in-difference (DID) approach. Overall, the total factor productivity (TFP) of SOEs selected as pilots by the government improved significantly by 14.57% after the reform compared to other SOEs, providing evidence for the positive role of the current MOR. This positive impact is prolonged and tends to increase in the post-reform years. A series of robustness checks show that our empirical specification satisfies the basic assumptions of DID and our findings are robust. By comparing the two reform strategies in the MOR, we find that the restructuring and reorganization plan is the primary channel driving TFP growth, showing a 0.4% improvement after the reform, rather than the employee stock ownership plan. We also investigate the impact of MOR on other financial and non-financial indicators, but we only find a significant increase in the profitability of SOEs’ assets.     

卖空压力影响公司融资约束吗——基于中国A股上市公司的实证证据*

代理成本和信息不对称是导致公司出现融资约束的重要原因。本文以2010年3月正式推出的融资融券制度为外生冲击,以2005—2015年间沪深两市A股非金融类上市公司为研究样本,利用双重差分（difference in difference)模型实证检验了卖空压力对公司融资约束的影响。本文研究发现：（1）卖空压力能够提高公司银行贷款规模,降低贷款成本;（2）卖空压力能够降低公司的现金持有水平;（3）卖空压力能够降低公司的现金—现金流敏感性。综合来看,卖空压力能够缓解公司融资约束。进一步的,卖空压力对公司融资约束的缓解作用在民营企业中更加显著,并且卖空压力可能是通过降低公司代理成本和信息不对称程度进而缓解融资约束的。在各种稳健性检验后,本文研究结论保持不变。