股票质押式回购交易视角下关联证券分析师行为研究

Based on the realistic dilemma faced by the risk prevention of share pledge, it is a frontier topic to study the effect of share pledge and its economic consequences. Based on the unique institutional background of China, this project breaks through the plight of pledge but not pledgee of share pledge. Taking share pledge repurchase transaction as the breakthrough point, we define that analysts who are affiliated to securities and have an affiliated relationship with listed companies by accepting share pledge are defined as affiliated analysts. Then taking information advantage and interest conflict as the research path, and based on the impact of lack of incentive for analysts, taking analysts’ earnings forecast, investment rating, supervision and governance of analysts as the research object, the project investigates the behavior of affiliated analysts who have connection with share pledge firms from the perspective of share pledge repurchase transaction. This project will focus on answering three questions: Firstly, whether and how does the share pledge repurchase affect the behavior of analysts? Secondly, is there any difference in the behavioral impact of affiliated analysts in the absence of incentives for analysts at different levels? Thirdly, do investors in the capital market recognize the behavior of affiliated analysts? The innovation of this project lies in decomposing and measuring the heterogeneity dimension of equity pledge, revealing the black box of equity pledge research, deepening the understanding of the Micro-role and transmission mechanism of capital market intermediaries in the absence of incentives, and providing reasonable ideas for risk prevention and regulatory policy regulation of share pledge repurchase transactions.

基于股权质押风险防范面临的现实困境，探讨股权质押的影响及其经济后果是当前学术研究的一个前沿课题。本课题立足中国独特的制度背景，突破股权质押只见企业不见质权人的研究困境，以股票质押式回购交易为切入点，将因隶属券商接受股权质押而与上市公司形成关联关系的证券分析师界定为关联分析师，以信息优势、利益冲突为研究路径，基于新财富最佳分析师评选取消导致证券分析师激励猝变的情景影响，以分析师盈余预测、投资评级、监督治理等行为为研究对象，重点回答以下三个问题：一是股票质押式回购交易视角下关联证券分析师行为有何影响和变化？二是在分析师激励猝变的情景下，关联证券分析师行为是否存在差异？三是资本市场投资者能否识别关联证券分析师行为？本项目创新之处在于基于股票质押式回购交易视角揭示股权质押研究黑箱，深化理解激励缺失情景下证券分析师的微观作用和传导机制，为股票质押式回购交易风险防范与监管层政策规制提供合理的思路。

基于股权质押风险防范面临的现实困境的背景，本项目突破股权质押只见企业不见质押权人的研究困境，将研究视角转向质押权人层面，以股票质押式回购交易办法实施为场景，以信息优势和利益冲突为研究路径，考察分析师的盈余预测、投资评级、监督治理等行为。本项目从质押权人异质性、质押资金用途异质性、质押人异质性等多维度对股权质押异质性特征进行界定，从整体上提炼了当前中国资本市场股权质押全貌，在此基础上界定了关联分析师这一核心概念，并考察股票质押式回购交易视角下关联证券分析师的行为。通过系统研究发现，因隶属券商开展股票质押式回购业务与上市公司形成关联关系的分析师在面临标的公司股权质押时倾向于发布乐观性研究报告，使关联分析师的盈余预测偏差更大、精度更低、投资评级更乐观。关联分析师的利益冲突行为在股权质押率高、券商风险管理能力较差时更显著，股权质押影响关联分析师利益冲突的作用路径是分析师私有信息获取和券商业务拓展需求，导致关联分析师与股权质押公司、隶属券商间的双重利益冲突。投资者在短期内并未识别关联分析师的独立性问题，买入评级带来了超额收益，但关联分析师评级报告的长期超额收益却显著为负。相关研究表明，关联分析师因利益冲突发布了乐观性研究报告，短期内降低了股权质押公司的股价崩盘风险。本项目从微观视角探索了股权质押风险的内在形成机理，为监管层化解金融风险和规制股票质押式回购交易提供了政策建议。