证券分析师的监管分析

投资信息的爆炸性增长,使普通投资者对具有信息传递和投资分析角色的证券分析师依赖越来越强。但是证券分析师信用与分析质量参差不齐,使一些投资者误入陷阱,并最终导致损失与随之而来的法律纠纷。因此,本文在梳理证券分析师利益冲突基础上,对其监管进行探讨,最后给出相关建议。     

承销商分析师与非承销商分析师利益冲突比较研究

基于证券分析师首次发表的关于2006~2008年A股市场IPO股票的研究报告数据,运用非参数检验与多元回归分析方法,对我国证券分析师利益冲突行为进行实证分析。研究结果表明,承销商分析师与非承销商分析师均存在乐观倾向,而且承销商分析师的投资评级更为乐观;市场对于承销商分析师与非承销商分析师关注股票的反应并无显著差异,表明我国证券市场投资者并没有认识到分析师的利益冲突行为。     

主承销商的买入推荐可信吗?——来自中国的证据和启示

以2004-2009年的A股IPO公司为样本,我们探讨主承销商分析师买入推荐的可信性问题。我们的研究表明,在市场表现较差时,主承销商分析师倾向于给出买入推荐。此外,相对于主承销商,市场更相信其他券商分析师给出的买入推荐。我们还发现,其他券商分析师也能够识别主承销商买入推荐所包含的乐观性偏差。我们的这一结论为主承销商分析师所面临的利益冲突问题提供了直接证据,不仅有助于投资者更好地进行投资决策,也有利于监管当局对证券分析师行业对症下药,从而更好地保护投资者利益。     

信息共享还是利益冲突?——基于买方单独调研与买卖双方联合调研的实证检验

基于买方(Buy Side)与卖方(Sell Side)存在的利益关系(交易佣金),本文考察了买方(基金)调研对于卖方证券分析行业信息精度的影响。结果发现,基金调研行为对卖方机构预测准确度的影响机制并不单一。一方面通过“信息共享”效应提高了券商的平均预测准确性;另一方面,两者之间存在明显的“利益冲突”效应,该作用降低了卖方分析师的预测公允性。此外,本文更具体地研究了两种效应的内在传递机制。从“信息共享”的角度发现基金调研吸引更多券商分析师对上市公司的关注,从而为证券分析行业带来“信息增量”;从“利益冲突”的角度,实证结果表明在中国的二级市场中佣金关系(交易佣金席位)更能代表中国市场买卖双方之间的利益关系,这种利益关系带来的“利益冲突”降低信息有效性。进一步,本文通过TF-IDF方法挖掘调研文本信息,分析了牛熊市、投资者情绪和调研报告文本情感色彩对调研信息质量的影响。     

声誉机制与证券分析师的利益冲突行为研究

理论界关于声誉机制对证券分析师利益冲突行为的影响存在两种截然不同的观点,本文通过构建证券分析师不同情况下的收益矩阵,求解其最大化的期望收益,得出了声誉机制会引发证券分析师的利益冲突行为,而且证券分析师是否选择跟风主要取决于不同情况下的收益的结论.本文认为,可通过建立声誉回报机制来影响证券分析师的收益,促使证券分析师发布独立且公正的投资建议,以消除证券分析师的利益冲突行为.     

中国证券分析师独立性问题研究

本文利用分析师利益最大化模型全面分析了证券分析师面临的各种利益关系对其发布的研究报告质量的影响,并收集了从2007年至2010年所有证券分析师发布的盈余预测与股票评级作为样本对研究假设展开实证研究.     

卖方分析师佣金解绑改革与中国实践--基于MiFIDⅡ的思考

卖方分析师利益冲突问题损害了投资者利益以及市场稳定性。为提高分析师独立性,欧洲2018年出台的《欧盟金融工具市场指令Ⅱ》首次拆分了分析师的分仓佣金与研究费用。研究发现,该举措实施后,伴随着卖方研究质量提升、低质量分析师退出市场,分析师利益冲突问题得到缓解,促进了卖方服务内部化转型、买方研究加速形成以及投资者交易透明度的提升,但同时也带来了研报价格恶性竞争、市场信息环境受损、人才非优流动等负面影响。我国分析师佣金制度存在披露透明度不足、研究服务界定不明、佣金分配缺乏有效监管等问题,现阶段完全解绑佣金可能引发潜在风险,应采取相对柔性的改革思路。监管机构宜推动改革基金管理费用,塑造市场激励机制;券商应提升综合研究能力,推进业务模式转型,探索差异化发展之路。     

证券分析师可信度与胜任能力:一个文献述评

本文以"公众投资者"为全新研究视角,构建证券分析师可信度指标评价体系,通过问卷调查对证券分析师可信度进行综合评价。利用平均赋权、专家赋权以及因子分析三种方法,计算出证券分析师可信度分别为2.82、2.87及2.9,语义都为"部分可信"。该研究结果说明:公众投资者认为证券分析师的投资建议只有40%～59%的可信水平。由于证券分析师的工作性质使他们常常陷入各种"利益漩涡"当中,他们所预测的股票并非都是"信得过产品",这些都影响了他们的"客观性"、"独立性"以及"准确性",使他们在公众投资者心中的可信度"大打折扣"。     

分析师跟踪、股权结构与内部人交易收益

内部人交易一直是资本市场监管的重点和难点,如何有效实施内部人监管,保护投资者利益不受侵害,维护资本市场"三公"原则,已成为现阶段亟待解决的重要问题。本文采用我国沪深两市A股上市公司2008~2013年间内部人交易数据检验了分析师跟踪对内部人交易收益的影响,实证结果表明:(1)内部人交易获利能力随着分析师跟踪数量的增加有所下降;(2)股权结构会影响分析师外部治理功能的发挥,国有控股和机构投资者持股显著削弱了分析师跟踪与内部人交易收益之间的负相关关系。本文的研究对于充分认识分析师跟踪的外部治理效应、强化内部人交易监管具有重要的理论价值与现实意义。     

分析师跟踪、股权结构与内部人交易收益北大核心CSSCI

内部人交易一直是资本市场监管的重点和难点,如何有效实施内部人监管,保护投资者利益不受侵害,维护资本市场"三公"原则,已成为现阶段亟待解决的重要问题。本文采用我国沪深两市A股上市公司2008~2013年间内部人交易数据检验了分析师跟踪对内部人交易收益的影响,实证结果表明:(1)内部人交易获利能力随着分析师跟踪数量的增加有所下降;(2)股权结构会影响分析师外部治理功能的发挥,国有控股和机构投资者持股显著削弱了分析师跟踪与内部人交易收益之间的负相关关系。本文的研究对于充分认识分析师跟踪的外部治理效应、强化内部人交易监管具有重要的理论价值与现实意义。     

Conflicts of Interest and Research Quality of Affiliated Analysts in the German Universal Banking System: Evidence from IPO Underwriting

The quality of equity research by financial analysts is a prerequisite for an efficient capital market. This study investigates the quality of earnings forecasts and stock recommendations for initial public offerings (IPOs) in Germany. The empirical study includes 12,605 earnings forecasts and 6,209 stock recommendations of individual analysts for the time period from 1997 to 2004. The focus of this study is on analysing the potential conflicts of interest that arise when the analyst is affiliated with the underwriter of an IPO. In a universal banking system these conflicts of interest are usually more pronounced and therefore interesting to investigate. The empirical findings for the German financial market suggest that earnings forecasts and stock recommendations of the analysts belonging to the lead-underwriter are on average inaccurate and biased, indicating some conflicts of interest. Moreover, the stock recommendations of the analysts that are affiliated with the lead-underwriter are often too optimistic resulting in a significant long-run underperformance for the investor. In contrast, unaffiliated analysts provide better earnings forecasts and stock recommendations that result in a superior performance for the investor.     

Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts

We examine the contemporaneous relation between earnings forecast accuracy and recommendation profitability to assess the effectiveness with which analysts translate forecasts into profitable recommendations. We find that, after controlling for expertise, more accurate analysts make more profitable recommendations, albeit only for firms with value‐relevant earnings. Next, we show that conflicts of interest from investment banking activities affect the relation between accuracy and profitability. In the case of buy recommendations, more accurate forecasts are associated with more profitable recommendations only for the nonconflicted analysts. For hold recommendations, higher levels of accuracy are associated with higher levels of profitability for conflicted analysts, provided these recommendations are treated as sells. Finally, we find that regulatory reforms aimed at mitigating analyst conflicts of interest appear to have improved the relation between accuracy and profitability. Specifically, the integrity of buy and hold recommendations has improved and the change is more pronounced for analysts expected to be most conflicted.     

The effect of affiliated analysts on stock recommendations: Evidence from share pledges in China

We use the share pledge context in China to examine how affiliated analysts whose securities companies are pledgees of share pledge firms issue stock recommendations on these listed firms. We find that their recommendations are more optimistic than those of non-affiliated analysts, and they are more likely to issue Buy and Add recommendations, suggesting that they issue optimistic rating reports for share pledge firms due to their conflicts of interest. We also find a dynamic adjustment in the stock recommendation behavior of these analysts, and their probability after issuing optimistic stock recommendations is significantly reduced before and after the years that the affiliation relationship between them and share pledge firms both began and ended. These affiliated analysts continue to issue optimistic stock recommendations after visiting the share pledge firms if they work in the same location as the firms, or if they are star analysts among New Fortune’s “top five analysts,” and when the information transparency of the share pledge firms is higher. In addition, the optimistic stock recommendation behavior of affiliated analysts is more significant in our sample of firms with high share pledge ratios and downward stock price pressure. The earnings forecast quality of affiliated analysts is also found to be lower, and they are less inclined to downgrade stock recommendations for these share pledge firms. Buy recommendations issued by both non-affiliated and affiliated analysts can bring cumulative excess returns in the short event window, but those issued by affiliated analysts are significantly negative in the long-term event window, and significantly lower than those issued by non-affiliated analysts. Overall, our study shows that affiliated analysts issue optimistic rating reports on share pledge firms due to conflicts of interest, which leads to decision-making bias in investors and thus decreases the stock price crash risk of the firms. Our findings further reveal the economic consequences of share pledging and extend our understanding of the behavior of analysts in a conflict of interest situation from the share pledge perspective.     

Chaebol-affiliated analysts: Conflicts of interest and market responses

Some Korean business groups, or chaebols, have a large stake in securities firms that issue analysts’ reports on their member companies. This structure is unique in that industrial companies and securities firms are affiliated and operate within the same group. We investigate the informational content of earnings forecasts, stock recommendations and target prices made by the chaebol-affiliated analysts, using data collected between 2000 and 2008. The chaebol analysts tend to make more optimistic earnings forecasts for the member companies. The mean EPS forecast error (5.36%) of the affiliated analysts for the same chaebol company are significantly larger than that (3.23%) of other chaebol and independent analysts. The chaebol analysts also assign better recommendations by almost one level and set target prices 2.5% higher to the member companies after controlling for company and analyst characteristics. These results are consistent with the hypothesis that chaebol analysts’ reports are biased by conflicts of interest. Stock market reactions do not differ in response to announcements of stock recommendations issued by affiliated vs. non-affiliated analysts. This suggests that capital markets do not recognize the conflicts of interest inherent in chaebol analysts’ reports.     

Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations

Abstract:  This paper tests whether sell-side analysts are prone to behavioural errors when making stock recommendations as well as the impact of investment banking relationships on their judgments. In particular, we analyse their report narratives for evidence of cognitive bias. We find first that new buy recommendations on average have no investment value whereas new sell recommendations do, and take time to be assimilated by the market. We also show that new buy recommendations are distinguished from new sells both by the level of analyst optimism and representativeness bias as well as with increased conflicts of interest. Successful new buy recommendations are characterised by lower prior returns, value stock status, smaller firms and weaker investment banking relationships. On the other hand, successful new sells do not differ from their unsuccessful counterparts in terms of these measures. As such, we provide evidence that analysts are prone both to behavioural bias as well as potential conflicts of interest in their new buy stock recommendation decisions. We also show that these two explanations of analyst behaviour are to a great extent independent of each other. Consequently, the recent attempts by regulators to address potential conflicts of interest in analyst behaviour may have only limited impact.     

The impact of reputation on analysts’ conflicts of interest: Hot versus cold markets

During periods of high IPO underpricing, unaffiliated all-star analysts from high reputation banks issue fewer strong-buy recommendations while unaffiliated all-star analysts from low reputation banks do not change their level of optimism. In contrast, unaffiliated non-star analysts from both high and low reputation banks issue more strong-buy recommendations. Consistent with the results on analyst optimism, the market reacts more favorably to strong-buy recommendations by unaffiliated all-star analysts from high reputation banks than other unaffiliated analysts during high IPO underpricing periods. Finally, we find that unaffiliated non-star analysts from low reputation banks reduce their coverage following an SEO if they are not selected as a part of the managing syndicate. Collectively, our results indicate that during periods of high IPO underpricing unaffiliated analysts face conflicts of interest, but personal-level reputation, and to a lesser extent bank-level reputation, plays a role in reducing this bias.     

Analysts’ Momentum Recommendations

We document that the likelihood of analyst recommendations following past stock returns decreased abruptly in 2003, coinciding with the Global Settlement and other regulatory changes designed to restrain analysts’ conflicts of interest. We also document that the likelihood of recommendations following past stock returns is abnormally high for recommendations issued after negative stock returns (but not for those issued after positive stock returns), among inexperienced and inaccurate analysts, among large brokerage houses, and for companies with high share turnover. Moreover, the recommendations that are more likely to follow past stock returns are accompanied by earnings forecast revisions that are larger in magnitude and less accurate ex post. Overall, our findings suggest that analysts with conflicts of interest and limited ability are more likely to base their recommendations on past stock returns. Finally, we document that the recommendations that are more likely to follow past stock returns (especially those that were issued before 2003 and those that are issued after negative stock returns) contribute to existing price momentum by generating incrementally stronger short‐term and long‐term stock returns.     

Do investment banks listen to their own analysts?

To what extent conflicts of interest affect the investment value of sell-side analyst research is an ongoing debate. We approach this issue from a new direction by investigating how asset-management divisions of investment banks use stock recommendations issued by their own analysts. Based on holdings changes around initiations, upgrades, and downgrades from 1993 to 2003, we find that these bank-affiliated investors follow recommendations from sell-side analysts in general, increasing (decreasing) their relative holdings following positive (negative) recommendations. More importantly, these investors respond more strongly to recommendations issued by their own analysts than to those issued by analysts affiliated with other banks, especially for recommendations on small and low-analyst-coverage firms. Thus, we find that investment banks “eat their own cooking,” showing that these presumably sophisticated institutional investors view sell-side recommendations as having investment value, particularly when the recommendations come from their own analysts.     

ANALYST BEHAVIOR SURROUNDING TENDER OFFER ANNOUNCEMENTS

We examine the usefulness and credibility of analyst recommendations by focusing on their behavior surrounding tender offer announcements. For our 1998–2001 sample, we find analysts did not identify takeover targets through their recommendations nor did they distinguish between wealth‐increasing and wealth‐decreasing tender offers. We find some evidence of conflicts of interest in analyst recommendations, but it is confined to the 1999–2000 dot‐com period. However, the long‐run performance following recommendations suggests that these conflicts have little ultimate cost to investors.     

Sources of Bank Interest Rate Risk

We investigate bank stocks'sensitivity to changes in interest rates and the factors affecting this sensitivity. We focus on whether the exposure of commercial banks to interest rate risk is conditioned on certain balance sheet and income statement ratios. We find a significantly negative relation between bank stock returns and changes in interest rates over the period 1991–1996. We also find that bank characteristics measured from basic financial statement information explain bank stocks'sensitivity to interest rate changes. These results suggest that bank managers, analysts, and regulators can use this information to assess the relative risk exposure of banks.