THE JOURNAL OF ACCOUNTING RESEARCH · VOL. 52, NO. 4 · SEPTEMBER 2014

卖方分析师研究与股价联动

作者：Volkan Muslu (University of Houston), Michael Rebello (University of Texas at Dallas), Yexiao Xu (University of Texas at Dallas)

摘要：我们发现在推荐或者预期前后的股票价格与发行分析师跟进的其他股票价格是联动变化的。共享的分析师报道对股价联动的影响超出了分析师日常工作。股票的每日收益与由同样分析师跟进的其他股票收益是共同变化的。股票价格联动和共享的分析师报道之间的联系与我们在盈利预测中报道特定的信息相一致；同时跟进两只股票的分析师，比起只跟进其中一只的分析师，预期这两只股票未来收益高度相关的可能性更高。总的来说，我们的证据表明，分析师研究产生与报道相关的溢出效应，该溢出效应提高了共享分析师报道的股票之间的股价联动。这些溢出的强度与分析师研究来自广泛的行业和市场信息的溢出相当。

关键词：股价联动；分析师报道；溢出效应

Sell-Side Analyst Research and Stock Comovement

Volkan Muslu (University of Houston), Michael Rebello (University of Texas at Dallas), Yexiao Xu (University of Texas at Dallas)

ABSTRACT

We document that a stock’s price around a recommendation or forecast covaries with prices of other stocks the issuing analyst covers. The effect of shared analyst coverage on stock price comovement extends beyond analyst activity days. A stock’s daily returns covary with the returns of other stocks with which it shares analyst coverage. These links between stock price comovement and shared analyst coverage are consistent with the coverage-speci?c information we ?nd in earnings forecasts; analysts who cover both stocks in a pair expect future earnings of the stocks to be more highly correlated than do analysts who cover only one stock from the pair. Collectively, our evidence indicates that analyst research produces coverage-speci?c spillovers that raise price comovement among stocks that share analyst coverage. The strength of these spillovers is comparable to spillovers from broad industry and market information in analyst research.

Keywords: stock comovement; analyst coverage; spillover

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12057/epdf

翻译：景薇