光华讲坛——社会名流与企业家论坛第6216期
主题：Mixed Roles of Analysts: Announcement Return Reversal and Information Asymmetry
主讲人：华盛顿州立大学金融与管理科学系 George Jiang教授
主持人：西南财经大学中国金融研究院 刘俊教授
时间：8月25日 10:00-11:30
地点：ZOOM会议，财大师生请通过您的学校邮箱发送邮件至liuchenyu@swufe.edu.cn报名并获取ZOOM会议链接，校外人员请在发送邮件的同时附上您的CV。
主办单位：中国金融研究院 科研处
主讲人简介：
George Jiang博士是美国华盛顿州立大学金融和管理科学系教授，并于2012年8月被任命为Gary P. Brinson投资管理系主任。George Jiang的研究和专长涵盖资本市场效率、实证资产定价、利率建模、风险衡量和管理、波动性预测、期权定价和共同基金业绩评估等领域。他的学术论文曾多次发表在Journal of Financial Economics、Review of Financial Studies、Journal of Financial and Quantitative Analysis、Journal of Econometrics、Journal of Business and Economic Statistics、Journal of Banking and Finance、Journal of Financial Econometrics等顶尖外文期刊。George Jiang教授还同时担任经济动态与控制杂志的副主编。George Jiang教授于1996年在西安大略大学获得经济学博士学位。George Jiang博士在加入华盛顿州立大学之前是亚利桑那大学埃勒管理学院的助理教授。
内容提要：
我们认为，金融分析师在金融市场中扮演着混合角色。一方面，分析师有助于减轻公司内部人员和投资者之间的信息不对称。另一方面，分析师拥有的信息本质上是私密的，为不知情的投资者创造了另一层信息不对称。我们进一步假设前者的影响发生在正常的市场条件下，而后者则出现在私人信息丰富的时期。使用短期股票收益反转作为流动性提供成本的代理，我们确认了我们对分析师角色的预测。具体而言，虽然分析师活动在正常市场条件下减弱了回报逆转，但它们加剧了收益公告周围的回报逆转。此外，我们发现私人市场在财报公布前对分析师修正的反应比在正常市场条件下更强，而在财报公布前公开市场对分析师修正的反应比在正常市场条件下更弱。这表明，由于一些投资者在收益公告之前使用分析师提供的私人信息进行交易，因此不知情的投资者或做市商不愿意与知情的投资者进行交易。进一步分解买卖差价的组成部分，我们展示了直接证据表明，对于分析师修正的股票，在财报公告窗口期间，逆向选择成分显着增加。
We argue that financial analysts serve mixed roles in the financial market. On the one hand, analysts help attenuate information asymmetry between firm insiders and investors. On the other hand, the information possessed by analysts is by nature private and creates another layer of information asymmetry for uninformed investors. We further hypothesize that the former effect takes place during normal market conditions, whereas the latter emerges during periods with rich private information. Using short-term stock return reversal as a proxy for costs of liquidity provision, we confirm our predictions on the roles of analysts. Specifically, while analyst activities attenuate return reversal during normal market conditions, they exacerbate return reversal around earnings announcements. In addition, we find that private market reactions to analyst revisions are stronger prior to earnings announcements than during normal market conditions, whereas public market reactions to analyst revisions are weaker prior to earnings announcements than during normal market conditions. This suggests that as some investors trade on private information produced by analysts prior to earnings announcements, uninformed investors or market makers are reluctant to trade against informed investors. Further decomposing the components of the bid-ask spread, we show direct evidence that for stocks with analyst revisions, there is a significantly higher adverse selection component during the pre-earnings announcement window.
