本文選題：證券分析師跟進(jìn)　切入點(diǎn)：信息披露質(zhì)量　出處：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國(guó)證券市場(chǎng)自上世紀(jì)九十年代初建立以來(lái),已經(jīng)歷二十余年的發(fā)展。據(jù)統(tǒng)計(jì),截止2012年底,境內(nèi)累積共有2621家上市公司(其中A股2516家,B股105家),滬深兩市共成交311151.77億元,其中上交所交易額為163415.50億元,深交所交易額為147736.27億元①。目前,證券市場(chǎng)已深刻地影響著國(guó)民經(jīng)濟(jì)和人民日常生活。證券市場(chǎng)的迅猛發(fā)展,使其在調(diào)整產(chǎn)業(yè)結(jié)構(gòu),完善公司內(nèi)外部治理及優(yōu)化資源配置、豐富人民生活等方面發(fā)揮著不可或缺的作用。但是從我國(guó)證券市場(chǎng)的發(fā)展歷程中可以看出,我國(guó)證券市場(chǎng)的成長(zhǎng)并非是一帆風(fēng)順的。有研究指出,我國(guó)證券市場(chǎng)自2007年以后,證券價(jià)格單日波動(dòng)次數(shù)顯著上升,且通過(guò)分析上證指數(shù)發(fā)現(xiàn)跌幅超過(guò)5%的天數(shù)多達(dá)24天,而漲幅超過(guò)5%的天數(shù)僅為10天②,正是我國(guó)證券市場(chǎng)的跌多漲少的怪象,導(dǎo)致廣大投資者對(duì)證券市場(chǎng)的信心日益下降。學(xué)術(shù)界紛紛從信息角度分析這種“跌多漲少”,但研究結(jié)果的解釋力差強(qiáng)人意。于是有些學(xué)者開(kāi)始從證券流動(dòng)性的角度研究這種怪象,并且取得了一些成果。 證券流動(dòng)性是證券市場(chǎng)的核心,也是證券市場(chǎng)一切(O'Hara,2003)。理論上流動(dòng)性越好的證券,其交易成本也就會(huì)越低,其價(jià)格受到外部單筆交易的影響也就越小。因此投資者偏好于流動(dòng)性好的證券,其在資本市場(chǎng)上資源配置效率也就越高。證券市場(chǎng)發(fā)展的關(guān)鍵在于維持良好的證券流動(dòng)性,而信息作為市場(chǎng)效率的靈魂,對(duì)證券流動(dòng)性的影響無(wú)時(shí)不有、無(wú)處不在。上市公司作為資本市場(chǎng)信息發(fā)布主體,其發(fā)布信息的質(zhì)量深刻影響著投資者的決策,而作為信息的補(bǔ)充發(fā)布者與“鑒證者”的中介,如證券分析師在信息發(fā)布方面也扮演著重要角色。隨著我國(guó)證券市場(chǎng)的快速發(fā)展,各種信息充斥著資本市場(chǎng),證券分析師在跟進(jìn)上市公司時(shí)向充滿“噪聲”的市場(chǎng)所發(fā)布的信息能否影響證券流動(dòng)性?以何種方式影響證券流動(dòng)性?能否影響上市公司的信息披露質(zhì)量?對(duì)這些問(wèn)題的研究有利于我國(guó)證券市場(chǎng)流動(dòng)性的改善與證券分析師行業(yè)的發(fā)展�，F(xiàn)有研究大都集中在上市公司信息披露質(zhì)量對(duì)證券流動(dòng)性之間的影響,或者是證券分析師某些行(如證券分析師跟進(jìn))為對(duì)證券流動(dòng)性的影響。很少綜合研究分析證券分析師跟進(jìn)、信息披露質(zhì)量、與證券流動(dòng)性三者之間的關(guān)系。因此對(duì)證券分析師跟進(jìn)、信息披露質(zhì)量與證券流動(dòng)性三者之間的關(guān)系開(kāi)展研究顯得尤為重要。 本文以證券分析師跟進(jìn)對(duì)證券流動(dòng)性的影響為主題,在進(jìn)行系統(tǒng)地理論分析和實(shí)證檢驗(yàn)之后,積極探討證券分析師跟進(jìn)對(duì)證券流動(dòng)性的作用,即證券分析師跟進(jìn)能否影響證券流動(dòng)性,以何種方式影響證券流動(dòng)性。結(jié)合我國(guó)制度背景及研究現(xiàn)狀,本文采用Ahimud模型估算我國(guó)證券流動(dòng)性,運(yùn)用實(shí)證研究方法研究證券分析師跟進(jìn)對(duì)證券流動(dòng)性的影響。筆者首先采用文獻(xiàn)回顧與邏輯演繹等方法從理論上分析證券分析師跟進(jìn)對(duì)證券流動(dòng)性的影響,同時(shí)發(fā)現(xiàn)證券分析師跟進(jìn)與信息披露質(zhì)量存在著密切的關(guān)系。結(jié)合前人對(duì)信息披露質(zhì)量與證券流動(dòng)性關(guān)系的研究,論文假設(shè)證券分析師跟進(jìn)對(duì)證券流動(dòng)性的影響存在直接與間接路徑,即證券分析師跟進(jìn)—證券流動(dòng)性；證券分析師跟進(jìn)—信息披露質(zhì)量—證券流動(dòng)性。實(shí)證研究發(fā)現(xiàn),證券分析師跟進(jìn)在線性回歸模型與結(jié)構(gòu)方程中都能夠?qū)ψC券流動(dòng)性有著積極的影響,同時(shí)證券分析師跟進(jìn)對(duì)信息披露質(zhì)量在線性回歸與結(jié)構(gòu)方程中也顯示著正的影響；信息披露質(zhì)量與證券流動(dòng)性在線性回歸中并未顯示出相關(guān)性,但在結(jié)構(gòu)方程中卻顯示出正相關(guān)關(guān)系。通過(guò)計(jì)算證券分析師跟進(jìn)對(duì)證券流動(dòng)性影響的直接影響與間接影響的路徑系數(shù),筆者發(fā)現(xiàn)證券分析師跟進(jìn)在更大的程度上直接影響著證券流動(dòng)性。本文還設(shè)計(jì)了穩(wěn)健性檢驗(yàn),進(jìn)一步證明論文的實(shí)證研究的結(jié)果。本文共分為以下六個(gè)部分。 引言部分主要介紹了本文的研究背景、意義以及研究思路和方法,羅列了本文的基本框架。 第一章回顧了證券分析師跟進(jìn)、信息披露與證券流動(dòng)性三者間的有關(guān)文獻(xiàn)研究。在對(duì)國(guó)內(nèi)外現(xiàn)有文獻(xiàn)系統(tǒng)地梳理的基礎(chǔ)上,文章總結(jié)了現(xiàn)有研究的大致方向以及存在的不足,并提出相應(yīng)的改進(jìn)意見(jiàn),作為本文的基本思路。 第二章闡述了證券分析師跟進(jìn)、信息披露與證券流動(dòng)性關(guān)系的理論基礎(chǔ)。本章從信息不對(duì)稱、信號(hào)傳遞與有限理性經(jīng)濟(jì)人這三個(gè)假說(shuō)的角度分別闡述了證券分析師對(duì)證券流動(dòng)性的重要性,以及證券分析師行業(yè)的緊迫性與必然性,分析表明資本市場(chǎng)上的信息不對(duì)稱是造成證券流動(dòng)性低下的原因,必須增加資本市場(chǎng)上可利用的信息數(shù)量和提高上市公司信息披露質(zhì)量以降低信息不對(duì)稱,才能有效地實(shí)現(xiàn)資本市場(chǎng)的資源配置功能,提高證券的流動(dòng)性。不僅能向資本市場(chǎng)直接發(fā)布信息,證券分析師還能促使上市公司發(fā)布高質(zhì)量的信息,這在理論上支持了證券分析師對(duì)證券流動(dòng)性直接與間接的積極影響。 第三章具體分析了證券分析師跟進(jìn)與信息披露質(zhì)量、信息披露質(zhì)量與證券流動(dòng)性及證券分析師跟進(jìn)與證券流動(dòng)性的關(guān)系,并提出了相關(guān)假設(shè)。 第四章為本文的核心,實(shí)證研究證券分析師跟進(jìn)對(duì)證券流動(dòng)性的影響。針對(duì)第三章提出的假設(shè)分別建立模型,并科學(xué)合理選擇相關(guān)變量,以2007～2012年深交所上市交易公司數(shù)據(jù)作為初選樣本開(kāi)展實(shí)證研究,包括描述性統(tǒng)計(jì)、相關(guān)性分析和回歸分析,同時(shí)設(shè)計(jì)了進(jìn)一步實(shí)證檢驗(yàn)以及穩(wěn)健性檢驗(yàn)。本文運(yùn)用圖標(biāo)和數(shù)字對(duì)相關(guān)變量進(jìn)行簡(jiǎn)要的分析,并利用相關(guān)性分析初步驗(yàn)證相關(guān)變量之間的關(guān)系,在此基礎(chǔ)上開(kāi)展回歸分析。本文還設(shè)計(jì)了進(jìn)一步檢驗(yàn)與穩(wěn)健性檢驗(yàn)以更深入地探究上述回歸結(jié)果的原因。 第五章結(jié)合前文理論和實(shí)證結(jié)果,對(duì)本文的研究成果進(jìn)行總結(jié),同時(shí)指出了研究中仍存在的不足和今后的進(jìn)一步研究方向。
[Abstract]:China's securities market since the establishment of the early 90s, has experienced twenty years of development. According to statistics, by the end of 2012, the cumulative domestic total of 2621 listed companies (including A shares 2516 shares, 105), Shanghai and Shenzhen two cities a total turnover of 31 trillion and 115 billion 177 million yuan, of which the Shanghai stock exchange transactions amounted to 16 trillion and 341 billion 550 million yuan the Shenzhen Stock Exchange, the transaction amounted to 14 trillion and 773 billion 627 million yuan. At present, the securities market has deeply affected the national economy and people's daily life. The rapid development of the securities market, the adjustment of industrial structure, improve the company's internal and external governance and optimize the allocation of resources, plays an indispensable role in enriching people's life. But in the development process China's securities market can be seen in China's securities market growth is not. Everything is going smoothly. studies have pointed out that China's securities market since 2007, significantly increased the stock price fluctuation and the number of single day. Through the analysis found that the Shanghai Composite Index fell more than 5% days up to 24 days, number of days or more than 5% of the only 10 days, is China's securities market rose more or less Guaixiang, lead to the majority of investors confidence in the securities market is declining. The academic circles have from the Perspective of information analysis of this "rose more or less" but the results explain. So some scholars began to study just passable from this Guaixiang securities liquidity perspective, and achieved some results.
Stock liquidity is the core of the securities market, securities market is also all (O'Hara, 2003). The better the stock flow theory, the transaction cost will be lower, its price is influenced by the external single trade is small. So the investor appetite for good fluidity of the securities in the capital market the resource allocation efficiency is higher. The key lies in the development of the securities market securities to maintain good liquidity, market efficiency and information as the soul, not the impact on stock liquidity everywhere. Listed companies as the capital market information dissemination main body, the release of information quality influences the decisions of investors. But as the information intermediary of publishers and "verification", such as securities analysts publish in terms of information also plays an important role. With the rapid development of China's securities market, a variety of information filled with capital Market information can influence the stock liquidity in securities analyst Gen Jin listed companies to fill the "noise" of the market released? In what way affect the securities liquidity? Can influence the quality of information disclosure of listed companies? Research on these problems is conducive to the development of our country to improve the liquidity of securities market and securities industry analyst the existing research is focused on the quality of information disclosure of listed companies on the impact between securities liquidity, or securities analyst for some (such as securities analyst Gen Jin) for the impact on stock liquidity. Few comprehensive analyses of the securities analyst Gen Jin, the quality of information disclosure, and the relationship between the stock liquidity three. So Gen Jin the securities analyst, research on the relationship between disclosure quality and liquidity of the stock three is particularly important.
In this paper, securities analysts following the impact on stock liquidity as the theme, after systematic theoretical analysis and empirical test, and actively explore the securities analyst to follow up the securities liquidity effect, which can influence the securities analyst following securities liquidity, the manner in which the impact of securities liquidity. Combined with the status quo of China's institutional background and research. This paper uses the Ahimud model to estimate the liquidity of China's Securities Securities analyst, using the research methods of empirical research to follow the impact on stock liquidity. The author adopts literature review and logical deduction method from the theoretical analysis of securities analysts following the impact on stock liquidity, also found that securities analysts follow up has a close relationship with the quality of information disclosure. Based on study of the quality of information disclosure and stock liquidity between the previous hypothesis securities analysts following securities There are direct and indirect paths of the impact of liquidity, namely the securities analyst following stock liquidity; securities analyst following - the quality of information disclosure of securities liquidity. The empirical study shows that securities analysts follow in linear regression and structural equation model can have a positive impact on stock liquidity, and securities analyst to follow up information the quality of disclosure in the linear regression and structural equation also showed a positive impact; the quality of information disclosure and stock liquidity in linear regression showed no correlation, but the structural equation has shown positive correlation. The path coefficients directly affect the calculation by securities analysts following the impact on stock liquidity and indirect effects. The author found that the securities analyst following in the greater extent a direct impact on stock liquidity. This paper also designs a robust test, further This paper is divided into the following six parts.
The introduction part mainly introduces the background, significance and research ideas and methods of this paper, and lists the basic framework of this article.
The first chapter reviews the relevant literature on Securities analyst following, information disclosure and stock liquidity between the three. Based on the existing literature at home and abroad systematically combing, the article summarizes the general direction of the existing research and the existing problems, and puts forward the corresponding improvement suggestions, as the basic idea of this paper.
The second chapter expounds the theoretical foundation of securities analyst following, information disclosure and the relationship between stock liquidity. This chapter from the asymmetric information, signaling and limited rationality of these three hypotheses illustrates the importance of the liquidity of securities analysts, securities analysts and industry of the urgency and necessity, analysis shows the information asymmetry in the capital market is the cause of stock liquidity is low, the capital market must increase the available information quantity and improve the quality of information disclosure of listed companies to reduce the information asymmetry, can effectively realize the resource allocation function of the capital market, improve the liquidity of securities. Not only can directly release information to the capital market, securities analysts also encourage listed companies to publish high quality information, the securities analyst on the securities liquidity of direct and indirect support in theory The positive impact.
The third chapter analyzes the relationship between securities analyst's follow-up and information disclosure quality, information disclosure quality and liquidity, and the relationship between securities analyst's follow-up and securities liquidity, and puts forward relevant assumptions.
The fourth chapter is the core of this paper, empirical research on securities analysts following the impact on stock liquidity. The third chapter puts forward the hypothesis model was established, and a scientific and reasonable selection of relevant variables to 2007~2012 years listed on the Shenzhen stock exchange trading data as the primary sample to carry out empirical research, including descriptive statistics, correlation analysis and regression analysis, at the same time the design of further empirical test and robustness test. This paper uses digital icons and a brief analysis of related variables, and using correlation analysis validated relationship between variables, on the basis of carrying out regression analysis. This paper also designed the cause of further test and robustness test to further explore the regression results.
The fifth chapter summarizes the research results based on previous theories and empirical results, and points out the shortcomings and future research directions.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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