摘要
"沪港通"是中国资本市场开放的一个重大创新措施,势必对中国资本市场产生多方面深远影响。文章以沪港通中的沪股通标的公司为切入点,选取中国上市公司2012—2016年的数据,基于沪港通实施的自然实验,采用双重差分模型(DID),考察沪港通政策对分析师预测乐观性偏差的影响。文章研究发现,沪港通政策显著提高了分析师对于沪股通标的公司预测的乐观偏差。进一步研究表明,对股票交易量越小和信息透明度更低的公司而言,沪港通政策对分析师乐观偏差的正向影响更显著。文章的研究结论不仅丰富了分析师乐观偏差的相关研究,同时为监管部门完善沪港通相关政策提供了重要的经验证据。
Shanghai-Hongkong Stock Connect Program is a major innovative strategy in opening of China？s capital market,which will inevitably have a far-reaching impact on several aspect on China？s capital markets.In this paper,from the perspective of firms of Shanghai shares in SH-HK Stock Connect Program,we employ the data of listed firms in China from 2012 to 2016,based on natural experiment of SH-HK Stock Connect Program,using the difference-indifference model（DID）and propensity score matching difference-in-difference model（PSM-DID）to examine the effects of the implementation of SH-HK Stock Connect Program on optimistic bias of the analysts forecast at the micro level.The empirical research results show that the implementation of SH-HK Stock Connect Program significantly improve the analysts’optimistic prediction bias for the firms of Shanghai shares in SH-HK Stock Connect Program.Moreover,the smaller the company？s stock trading volume is,the greater the increase of analysts’optimistic prediction bias for the firms of Shanghai shares in SH-HK Stock Connect Program will be after the implementation of SH-HK Stock Connect Program.greater the increase will be after Hong Kong and Shanghai opened.The conclusions of this study not only enrich the study of the optimistic bias of analysts,but also provide important empirical evidence for the regulatory authorities to improve the relevant policies of SH-HK Stock Connect Program.
作者
李沁洋
桂亚玲
杨敏
郭景昕
LI Qin-yang;GUI Ya-ling;YANG Min;GUO Jing-xin
出处
《科学决策》
CSSCI
2018年第3期16-42,共27页
Scientific Decision Making
基金
中央高校基本科研业务费专项资金(项目编号:SWU1709647)
教育部人文社会科学研究青年基金项目(项目编号:17YJC630063)
关键词
沪港通
分析师预测
乐观偏差
双重差分模型
SH-HK Stock Connect Program
analysts forecast
optimistic bias
DID model
