分析师利益冲突、乐观偏差与股价崩盘风险

"股价崩盘风险"是当前金融危机背景下财务学的一个研究热点。本文使用2003-2010年中国A股上市公司的数据,研究分析师乐观偏差是否影响上市公司股价崩盘风险,并考察分析师面临的"利益冲突"是否会加剧乐观偏差对股价崩盘风险的影响。研究发现:(1)分析师乐观偏差与上市公司未来股价崩盘风险之间显著正相关,且此关系在"牛市"更为显著;(2)机构投资者持股比例越高,机构投资者数量越多,公司存在再融资行为,以及来自前五大佣金收入券商的分析师比例越高,分析师乐观偏差与崩盘风险之间的正向关系就更为显著,说明"利益冲突"会加剧两者的关系。本文的研究对于全面认识分析师在资本市场中的作用,以及如何降低我国股价崩盘风险、促进股市平稳发展具有重要的理论和现实意义。

Conflicts of Interest,Analyst Optimism and Stock Price Crash Risk

Stock price crash risk is a hot issue in finance research. Using a sample of A-share listed firms in China for the period 2003——2010,this paper investigates the relationship between analyst optimism and stock price crash risk at firm level,and how conflicts of interest affect this relationship. We provide strong evidence that analyst optimism is positively associated with stock price crash risk. And,this relation is more pronounced in the bull market. Moreover,Results show that the impact of analyst optimism on crash risk is more pronounced when institutional ownership is higher,the number of institutional investors is larger,there is seasoned equity offering and debt issuing,and the ratio of analysts from brokerage firms with high brokerage commissions is higher. These results indicate that conflicts of interest in sell-side research do affect this relation. Our paper contributes to the literature on stock price crash risk,and has important implications for our understanding the role of analysts and the development of capital market in China.