本文關(guān)鍵詞： 推薦評級 融資融券 兩融余額 激勵機(jī)制 反向指標(biāo)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：轉(zhuǎn)型壓力之下,快速發(fā)展的融資融券業(yè)務(wù)成為券商尋找新利潤增長點的重要突破。而券商分析師做出推薦評級時是否會受到融資融券因素的影響?前人對此尚無研究。本文發(fā)現(xiàn)分析師對第一批兩融標(biāo)的推薦評級收益率在其可以兩融前后的差異,與后兩批標(biāo)的存在顯著差別。實證研究證實了分析師推薦評級與融資融券之間存在兩種相反的激勵機(jī)制：對于兩融余額占比高的股票進(jìn)行推薦時罔顧客觀性,以期快速提升本券商融資融券凈利息收入的增長；對新入標(biāo)的進(jìn)行推薦時卻兼顧客觀性,以博取客戶信賴為新標(biāo)的兩融業(yè)務(wù)在激烈競爭中的發(fā)展贏取相對有利的地位。二者隨著個股融資融券余額市場份額的變化此消彼長,并分別在不同批次的可兩融股票上得以體現(xiàn)。在此基礎(chǔ)上,本文以“同期看多第一批兩融股票的分析師人數(shù)”作為反向指標(biāo),構(gòu)建了基于事前判斷行情進(jìn)而決定做多或者做空的投資策略。該策略無論相對收益還是絕對收益,不管是否考慮交易成本,均十分顯著。
[Abstract]:Under the pressure of transformation, the rapid development of margin and margin business has become an important breakthrough for securities companies to find new profit growth points. And whether securities analysts will be affected by margin financing factors when they make recommendations? There is no previous research on this. This paper finds the difference between the recommended rating returns of the first two financial targets before and after they can be combined. There are significant differences between the latter two groups of targets. Empirical studies confirm that there are two opposite incentive mechanisms between the analyst recommendation rating and margin margin financing: the recommendation of stocks with high ratio of two financial balances ignore objectivity. With a view to rapidly improving the securities margin margin net interest income growth; When recommending a new target, it takes objectivity into account. In order to gain customer trust as the new target of the development of the two financial business in the fierce competition to win a relatively favorable position. Both with the stock margin balance market share changes one after another. On the basis of this, this paper takes "the number of analysts who are looking at the first batch of stocks" as the reverse index. An investment strategy based on prior judgment and decision to be long or short is constructed. This strategy is significant regardless of relative return or absolute return, regardless of whether transaction costs are considered or not.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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