Journal of Financial Markets Volume 24, June 2015, Pages 49–65.

賣方分析師樂觀預測的非對稱效應與經紀市場客戶份額

作者：Andrew Grant, Elvis Jarnecic, Mark Su (H69 Business School Building, Cnr Codington and Rose Sts, Darlington, NSW 2008, Australia)

摘要：我們在文中首次論證了經紀人的不同客戶群體對盈利預測和股票推薦的反應。樂觀的盈利預測帶來更高的交易量；另一方面，相較于主要面向機構的經紀公司，隸屬于零售經紀公司的分析師更樂忠于推薦股票。我們同時發現，買入交易的份額（即買單量）在分析師推薦意願增強時獲得極大提升，而賣出交易的份額在分析師推薦意願減弱時上升。這一效應在零售客戶中更顯著。

關鍵詞：市場微觀結構；分析師預測；分析師動機

Asymmetric effects of sell-side analyst optimism and broker market share by clientele

Andrew Grant, Elvis Jarnecic, Mark Su (H69 Business School Building, Cnr Codington and Rose Sts, Darlington, NSW 2008, Australia)

ABSTRACT

This paper provides evidence for the first time on how different broker clienteles react to earnings forecast and stock recommendations. Greater trade volume is found to be associated with optimistic earnings forecasts while stock recommendations are stronger for analysts affiliated with retail brokerage firms than those affiliated with institutional brokerage firms. We also find that the market share of buy volume (that is, volume from buy orders) substantially rises on recommendation upgrades while the market share of sell volume rises on recommendation downgrades, and that this effect is stronger for retail clientele.

Keywords：Market microstructure; Analyst forecasts; Analyst incentives

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418115000282

翻譯：黃怡文