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本文研究中国证券市场民间分析机构信息的有效性、价值含量及其在证券市场资源配置中的作用。以经济观察研究院发布的“上市公司信任度指数”为研究对象,我们发现:信任度指数准确反映了公司的财务信息质量;该信息在投资决策中是有效的,利用其构建的对冲策略可以获得月平均2.7%的超额回报(年均32.4%)。我们的结果表明,如果投资者能够充分利用中介结构披露的信息,就可以从一定程度上缓解我国当前资本市场中的信息不对称问题,促进证券市场资源合理配置。
This paper studies the effectiveness and value of information from private analysts in China’s securities market and its role in the allocation of resources in the securities market. Taking the “Listed Companies’ Trust Index” released by the Institute of Economic Observatories as the research object, we find that: the trust index accurately reflects the quality of the company’s financial information; this information is valid in the investment decision-making, and the hedging strategy constructed by it can Get a monthly excess of 2.7% on average (32.4% a year). Our results show that if investors can make full use of the information disclosed by the intermediary structure, it can alleviate the problem of information asymmetry in the current capital market to a certain extent and promote the rational allocation of resources in the securities market.