本文關(guān)鍵詞： 投資者分歧 新股 分析師研究報告 換手率　出處：《西南交通大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：交易通常是由于買方和賣方的投資意見分歧導(dǎo)致的,即買方基于已掌握信息,認(rèn)為該股現(xiàn)價偏低,值得投資,而賣方基于已掌握信息,認(rèn)為該股不值得繼續(xù)投資,所以做出賣出決策。同時又因為雙方的信息高度不對稱,亦或者信息極度缺少,也會引起買賣雙方在股票價格的定價上發(fā)生較為嚴(yán)重的分歧,此時就會產(chǎn)生很高的股票交易量。根據(jù)投資者分歧產(chǎn)生形式,本文分析了分析師新股研究報告對投資者分歧的影響,從"有限關(guān)注"與"漸進(jìn)信息流理論"兩個角度實證了分析師新股研究報告的作用。漸進(jìn)信息流理論是指市場上的信息量有多有少和證券投資者處理市場信息所需要的反應(yīng)時間存在先后,這兩點是投資者產(chǎn)生投資意見分歧的主要原因,并且會最終體現(xiàn)到股票的交易量價上。有限關(guān)注認(rèn)為投資者由于能力與精力的有限,對于信息的關(guān)注肯定有先后之分,會優(yōu)先關(guān)注最容易被注意到的信息。證券分析師研報能夠提高能力弱者信息收集效率,減小由于能力差異導(dǎo)致的意見分歧,改善中小投資者信息劣勢,從而保護(hù)中小投資者,同時又由于證券分析師本身的光環(huán)效應(yīng),投資者會首先關(guān)證券分析師關(guān)注的股票而不考慮背后的信息,所以又會在短時間內(nèi)給投資者帶來非理性的行為。本文以股票換手率作為反應(yīng)投資者間意見分歧的代理變量,研究了證券分析師新股研究報告對新股交易換手率的影響情況。研究發(fā)現(xiàn)由于投資者的有限關(guān)注,研報越多越易引起買方超買,在新股一字板期間表現(xiàn)為換手率更高,同時明星分析師研報能夠降低投資者意見分歧,在一字板破板后的時間段二表現(xiàn)為減少二級市場換手率,而低質(zhì)量研報與換手率在時間段二關(guān)系不顯著,即不能降低投資者意見分歧。
[Abstract]:The transaction is usually the result of differences of opinion between the buyer and the seller, that is, the buyer, based on the information at his disposal, considers that the current price of the stock is low and is worthy of investment, while the seller, based on the information at his disposal, considers that the stock is not worthy of further investment, Therefore, the decision to sell. At the same time, because the information between the two parties is highly asymmetric, or because of the extreme lack of information, it will also cause more serious differences between the buyer and the seller over the pricing of the stock price. According to the form of investor divergence, this paper analyzes the influence of analyst new stock research report on investor divergence. This paper empirically demonstrates the role of the new research report of analysts from the perspectives of "limited attention" and "progressive information flow theory". The theory of progressive information flow refers to the amount of information in the market and the securities investors dealing with the market information. The response time needed is in sequence, These two points are the main reasons for investors to disagree on their investment opinions, and will eventually be reflected in the trading volume price of stocks. Limited attention holds that due to the limited ability and energy of investors, the attention to information must have a priority. The securities analyst research paper can improve the efficiency of information collection for the weak, reduce the differences of opinion caused by different abilities, improve the information disadvantage of small and medium-sized investors, and thus protect small and medium-sized investors. At the same time, because of the halo effect of the securities analysts themselves, investors will first close the stocks of concern to the securities analysts without considering the information behind them. Therefore, it will bring irrational behavior to investors in a short period of time. In this paper, the stock turnover rate is used as the proxy variable to reflect the differences of opinion among investors. This paper studies the influence of the new stock research report of securities analysts on the turnover rate of new stock trading. The study found that due to the limited attention of investors, the more the research report is, the more likely it is to cause the buyer to overbuy, and the higher the turnover rate is during the period of the new stock market. At the same time, the star analyst research paper can reduce the difference of opinion among investors. The second performance of the time period after breaking the board in a word is to reduce the turnover rate in the secondary market, but the relationship between the low quality research report and the turnover rate is not significant in the second time period. That is, investors can not reduce their differences of opinion.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1518590