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针对可供融资买入的股票,本文检验了分析师上调评级日股票的超额收益与之前10日内股票的异常流动性之间的关系。研究发现:尽管总体来看,分析师上调评级日股票的超额收益与之前10日股票的异常流动性并不存在显著的相关性,但明星分析师上调评级日股票的超额收益却与之前10日股票的异常流动性呈现出显著的负相关关系;结果表明尽管分析师总体提前释放信息并不会抑制股票流动性,但明星分析师提前释放信息却会抑制股票流动性。本文还进一步检验了导致上述现象出现的原因。研究发现:明星分析师上调评级日股票的超额收益与之前10日股票的异常融资买入量之间呈现出显著的正相关关系;而且在实施股票转融通之后,明星分析师上调评级日股票的超额收益与之前10日股票的异常流动性之间呈现出更加显著的负相关关系;结果表明明星分析师提前释放信息会导致大量融资买入中的知情交易,这应该是其抑制股票流动性的一个重要原因。本文的研究结论丰富了分析师不公平信息披露及其经济后果的文献,同时也为投资者增强对分析师行为的认知以及资本市场加强监管提供了一定的启示。
This article examines the relationship between excess returns on analysts’ upward-adjusted stocks and abnormal liquidity in the previous 10 days for the stocks available for financing. The study found that while overall excess returns of analysts ’downgraded rating stocks did not show any significant correlation with the abnormal liquidity of the previous 10 days, the excess of star analysts’ The abnormal liquidity of the stock shows a significant negative correlation. The results show that although the analyst’s overall early release of information does not restrain the stock liquidity, the star analyst’s early release of information will restrain the stock liquidity. This article further examines the reasons leading to the above phenomenon. The study found that: Star analysts raised the rating on the excess returns on the stock and the previous 10 shares of abnormal financing purchase volume showed a significant positive correlation between; and after the implementation of the stock exchange, Star analysts raised the rating of the stock The excess returns show a more significant negative correlation with the abnormal liquidity of the previous 10-day stocks. The results show that the star analysts’ early release of information will lead to a large amount of financing buy-in of informed transactions, which should be its inhibition of stock liquidity An important reason. The conclusion of this paper enriches the literature about unfair disclosure of information and its economic consequences by analysts. It also provides some enlightenment for investors to enhance their cognition of analysts’ behavior and the strengthening supervision of capital market.