Stock characteristics and herding in financial analyst recommendations
Stock characteristics and herding in financial analyst recommendations
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金融分析师建议中的股票特征和羊群效应
DOI：
10.1080/09603107.2010.528367
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Sheng
中科院分区：
文献类型：
--
作者：
Wenling Lin;Po;Sheng
大多数关于金融分析师羊群效应的研究都集中在分析师属性对羊群效应的影响上，而企业特征对羊群效应也有显著的影响。这项研究的主要目的是检验分析师推荐的股票是否偏好与未来回报相关的具有公司特征的股票，并证明所谓的“特征羊群”行为。因此，在这项研究中，我们在韦尔奇(2000)的模型中纳入了与未来回报相关的公司特征；结果，我们发现在金融分析师的建议中可以看出“特征羊群”。随着公司规模和股票的账面价格比的增加，这种对分析师建议的羊群效应会增加。这两个公司特征中的一个与股票的未来收益正相关，而另一个与股票的未来收益呈负相关。因此，分析师的“特征羊群行为”部分是由股票基本面因素提出的建议造成的，部分是其他原因造成的。这可能会抑制未来回报对羊群效应的影响。还观察到，无论牛市还是熊市，市场中都存在羊群效应。有羊群效应的分析师与无羊群效应的分析师相比，没有显著的劣势。
Most studies investigating the herding of financial analysts focused on the impact of analyst attributes on herding, while firm characteristics may also contribute significantly to herding. The primary objective of this study is to examine whether analyst recommendations prefer stocks with firm characteristics associated with future returns and demonstrate the so-called ‘characteristic herding’ behaviour. Thus, in this study, we incorporate within Welch's (2000) model those characteristics of firms relating to future returns; as a result, we find that ‘characteristic herding’ is discernible in the recommendations of financial analysts. This tendency towards herding in analyst recommendations increases with the firm size and book-to-price ratio of the stock. One of these two firm characteristics positively correlates with the future returns of stocks while the other displays a negative correlation. Consequently, the ‘characteristic herding’ of analysts is caused in part by recommendations made on account of stock fundamentals and in part by other reasons. This may dampen the impact of future returns on herding. It has also been observed that herding exists in the market regardless of bull market or bear market. No significant inferiority is reported in analyst performance with herding when compared to the performance without herding.