Journal of Banking and Finance ·Volume 91· JUN 2018

分析师建议中的羊群效应：媒体的作用

作者：Bart Frijns (Department of Finance, Auckland University of Technology)

Thanh D.Huynh (Department of Banking and Finance, Monash Business School, Monash University)

摘要：本文研究了媒体对于分析师制定股票建议时的羊群效应的影响。我们发现了三个主要结果。首先，我们发现分析师在媒体报道更多的股票上的羊群行为更少。其次，当公司的媒体情绪消极时，分析师的羊群行为更严重。第三，媒体分歧越高，分析师就越可能出现羊群行为。研究结果表明新闻流量对收益的混淆效应以及对其他解释变量的影响是稳健的。另外，我们发现媒体对分析师羊群行为的影响取决于分析师的特征。

关键词：证券分析师；羊群效应；新闻情绪；新闻覆盖；新闻传播

Herding in analysts’ recommendations: The role of media

Bart Frijns (Department of Finance, Auckland University of Technology) Thanh D.Huynh (Department of Banking and Finance, Monash Business School, Monash University)

ABSTRACT

This study investigates the impact of media on analysts’ herding behavior when making stock recommendations. We find three main results. First, we find that analysts herd less when stocks are covered more in the media. Second, when the firm has negative media sentiment, analysts tend to herd more. Third, higher disagreement in the media is associated with a higher tendency to herd among analysts. These findings are robust to the confounding effect of news flows on returns as well as to alternative explanations. In addition, we find that the effect of media on the herding behavior is conditional on analyst characteristics.

Keywords: Security analyst; Herding; News sentiment; News coverage; News dispersion

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300670

翻译：张展