|
|
|
| Information Sharing or Conflict of Interest: Empirical Study of Buy-Side Individual and Joint Visits |
| XIAO Xinrong, MA Mengxuan
|
School of Banking and Finance, University of International Business and Economics;
Guanghua School of Management, Peking University |
|
|
|
Abstract Information plays a key role in the efficiency of economy and finance. In the asset management industry, investment methods based on intrinsic value have become the mainstream approach of active institutional investors.Therefore, investors are increasingly focusing on uncovering information about listed companies.The Shenzhen Stock Exchange now forces listed companies to report on investor relationship management activities, such as communication behaviors. This further improves the information efficiency of the A-share market.
In China's securities market, refinements to the information disclosure system and advances in commercial institutions provide new empirical data for studying the relationship between information acquisition and asset prices.Based on this background, this paper uses investor relationship information from the China Stock Market and Accounting Research (CSMAR) database between 2012 and 2016 to study the impact of buy-side visit behavior on sell-side analysts' predictions from the perspectives of information transmission and conflict of interest.
Different from previous studies, the paper pays more attention to the information mechanism for the buy-side and the sell-side in visit activities rather than a single market subject. We can further refine the influence of buy-side visits by distinguishing between different types of visits,specifically individual visits and joint visits.We put forward two hypothesized effects: the information sharing effect and the conflict of interest effect. The empirical results show that buy-side individual visits can reduce the forecast bias of the brokerage industry, while joint visits cause a decline in average forecast accuracy; this confirms the existence of the two effects.
In addition, we further study the internal transmission mechanisms of the two effects. For the information sharing effect, we find that the number of brokers tracking the enterprise after the fund visit increases significantly, indicating that the disclosure of such behavior and text records can cause more brokers to pay attention to listed companies. This provides information channels for brokerage analysis and forecasting. Regarding conflicts of interest, we find that when brokers provide site visit arrangements, research reports, and other services for funds to obtain trading commissions, the resulting benefits-based relationship has an impact on the accuracy of the information predicted by the sell side.
We also consider three external factors: market condition (bull or bear), investor sentiment, and emotion in visit records. In particular, we introduce the TF-IDF method to statistically analyze the representative vocabulary in the text. The empirical results are as follows: (1) Information efficiency is higher during bull markets,when investor sentiment is high; in a bear market, when investor sentiment is depressed, institutional investors are more dependent on brokers,leading to a more prominent conflict of interest effect. (2) When the survey minutes of listed companies have obvious emotional signals, fund visits can reduce the average error of brokers' predictions. Further, when the text shows a negative signal, the information formed by the fund visit is more obvious, and it becomes harder for the interest relationship to intervene in securities analysts' forecasts.
The paper makes several important contributions. First, it splits the effect of buy-side (fund) visits on sell-side analyst predictions into two dimensions.Second, we open the “black box” of the internal information mechanism of corporate visits. It is particularly difficult to quantify interest relationships, as the institutions in a visit sample may involve more than one fund and broker. We first expand the data into a one-to-one relationship and then combine the calculation. Third, the paper extends the analytical approach to information in the text record by using the TF-IDF method.Finally, the CICSI index is more in line with China's national conditions than the BW index and therefore more suitable for studying the effect of investor sentiments.
Overall, the paper puts forward a unique perspective to analyze the role of institutional investors in market information transmission, thus providing new evidence for research on information efficiency in the capital market. This paper also provides clear policy implications related to information disclosure.
|
|
Received: 12 November 2018
Published: 23 August 2019
|
|
|
|
|
| [1] |
白晓宇,2009,《上市公司信息披露政策对分析师预测的多重影响研究》,《金融研究》第4期,第92～112页。
|
| [2] |
曹胜和朱红军,2011,《王婆贩瓜:券商自营业务与分析师乐观性》,《管理世界》第7期,第20～30页。
|
| [3] |
陈强,2014,《高级计量经济学及Stata应用》,高等教育出版社,第540～545页。
|
| [4] |
胡昌生和池阳春,2013,《投资者情绪、资产估值与股票市场波动》,《金融研究》第10期,第181～193页。
|
| [5] |
胡奕明和林文雄,2005,《信息关注深度、分析能力和分析质量—对我国证券分析师的调查分析》,《金融研究》第2期,第36～43页。
|
| [6] |
孔东民、刘莎莎、陈小林和邢精平,2015,《个体沟通、交易行为与信息优势:基于共同基金访问的证据》,《经济研究》第11期,第106～119页。
|
| [7] |
李小晗和朱江军,2011,《投资者有限关注与信息解读》,《金融研究》第8期,第128～142页。
|
| [8] |
谭松涛和崔小勇,2015,《上市公司调研能否提高分析师预测精度》,《世界经济》第4期,第126～145页。
|
| [9] |
唐松莲和陈伟,2017a,《声誉提升抑或利益结盟:关联证券分析师实地调研动因研究》,《管理世界》第9期,第178～179页。
|
| [10] |
唐松莲、李君如和卢婧,2017b,《实地调研类型、信息优势与基金超额收益》,《会计与经济研究》第1期,第43～64页。
|
| [11] |
汪昌云和武佳薇,2015,《媒体语气、投资者情绪与IPO定价》,《金融研究》第9期,第174～189页。
|
| [12] |
王玉涛和王彦超,2012,《业绩预告信息对分析师预测行为有影响吗》,《金融研究》第6期,第193～206页。
|
| [13] |
吴超鹏、郑方镳和杨世杰,2013,《证券分析师的盈余预测和股票评级是否具有独立性？》,《经济学(季刊)》第3期,第935～958页。
|
| [14] |
伍燕然、江婕、谢楠和王凯,2016,《公司治理、信息披露、投资者情绪与分析师盈利预测偏差》,《世界经济》第2期,第100～119页。
|
| [15] |
许年行、江轩宇、伊志宏和徐信忠,2012,《分析师利益冲突、乐观偏差与股价崩盘风险》,《经济研究》第7期,第127～140页。
|
| [16] |
许小年,1996,《信息、企业监控和流动性——关于发展我国证券市场的几个理论问题(下)》,《改革》第4期,第39～44页。
|
| [17] |
薛祖云和王冲,2011,《信息竞争抑或信息补充:证券分析师的角色扮演——基于我国证券市场的实证分析》,《金融研究》第11期,第167～182页。
|
| [18] |
易志高和茅宁,2009,《中国股市投资者情绪测量研究:CICSI的构建》,《金融研究》第11期,第174~184页
|
| [19] |
曾庆生、周波、张程和陈信元,2018,《年报语调与内部人交易:“表里如一”还是“口是心非”？》,《管理世界》第9期,第143～160页。
|
| [20] |
张雪兰和何德旭,2008,《证券分析师利益冲突影响投资者利益吗——一个经验研究评述(1995—2007)》,《金融研究》第7期,第170～183页。
|
| [21] |
张宗新和杨万成,2016,《声誉模式抑或信息模式:中国证券分析师如何影响市场》,《经济研究》第9期,第104～117页。
|
| [22] |
Bowen, R. M., S. Dutta and S. Tang, 2018, “Inside the “Black Box”, of Private in-house Meetings”, Review of Accounting Studies, 23(2), pp.487～527.
|
| [23] |
Bowen, R. M., S. Dutta, S. Tang and P. Zhu, 2017, “Managing the Demand for Information from Institutional Investors: Evidence from Private In-House Meetings of Shenzhen Stock Exchange (SZSE) Listed Firms”, SSRN Working Paper, No. 2997349.
|
| [24] |
Brown, L.D., A. Call, M. Clement, and N. Sharp, 2015, “Inside the ‘Black Box' of Sell-Side Financial Analysts”, Journal of Accounting Research, 53(1), pp.1～47.
|
| [25] |
Bushee, B. J., D. A. Matsumoto and G. S. Miller, 2004, “Open Versus Closed Conference Calls: The Determinants and Effects of Broadening Access to Disclosure”, Journal of Accounting & Economics, 34 (1), pp.149～180.
|
| [26] |
Bushee, B. J., M. J. Jung and G. S. Miller, 2011, “Conference Presentations and the Disclosure Milieu”, Journal of Accounting Research, 49(5), pp.1163～1192.
|
| [27] |
Cao, S., G. Gong and H. Shi, 2017, “Private Information Acquisition and Corporate Investment: Evidence from Corporate Site Visits”, SSRN Working Paper, No. 2955318.
|
| [28] |
Cheng, Q., F. Du, X. Wang, and Y. Wang, 2013, “Are Investors' Corporate Site Visits Informative”, SSRN Working Paper, No. 2308486.
|
| [29] |
Cheng, Q., F. Du, X. Wang, and Y. Wang, 2016, “Seeing is Believing: Do Analysts Benefit from Site Visit”, Review of Accounting Studies, 21(4), pp.1245～1286.
|
| [30] |
Davis, A. K., W. Ge, D. Matsumoto and J. L. Zhang, 2015, “The Effect of Manager-Specific Optimism on the Tone of Earnings Conference Calls”, Review of Accounting Studies, 20(2), pp.639～673.
|
| [31] |
Fama, E. F., 1965, “The Behavior of Stock-Market Prices”, Journal of Business, 38(1), pp.34～105.
|
| [32] |
Fama, E. F., 1970, “Efficient Capital Markets, A Review of Theory and Empirical Work”, The Journal of Finance, 25(2), pp.383～417.
|
| [33] |
Firth M., C. Lin, P. Liu and Y. Xuan, 2013, “The Client Is King: Do Mutual Fund Relationships Bias Analyst Recommendations？”, Journal of Accounting Research, 51(1), pp.156～200.
|
| [34] |
Green, T. C., R. Jame, S. Markov and M. Subasi, 2014, “Access to Management and Informativeness of Analyst Research”, Journal of Financial Economics, 114(2), pp.239～255.
|
| [35] |
Grossman S. and J. Stiglitz., 1980, “On the Impossibility of Informationally Efficient Markets”, American Economic Review, 70(3), pp.393～408.
|
| [36] |
Gu, Z. Y., Z.Q. Li and Y. G. Yang, 2013, “Monitors or Predators: The Influence of Institutional Investors on Sell-Side Analysts”, The Accounting Review, 88(1), pp.137～169.
|
| [37] |
Hayek, F. A., 1945, “The Use of Knowledge in Society”, The American Economic Review, 35(4), pp.519～530.
|
| [38] |
Hovakimian A. and E. Saenyasiri, 2010, “Conflicts of Interest and Analyst Behavior: Evidence from Recent Changes in Regulation”, Financial Analysts Journal, 66(4), pp.96～107.
|
| [39] |
Huang H., M. Li and J. Shi, 2016,“Which Matters: ‘Paying to Play' Or Stable Business Relationship？ Evidence on Analyst Recommendation and Mutual Fund Commission Fee Payment”, Pacific-Basin Finance Journal,40, pp.403～423.
|
| [40] |
Jiang, X. and Q. Yuan, 2018, “Institutional Investors' Corporate Site Visits and Corporate Innovation”, Journal of Corporate Finance, 48, pp.148～168.
|
| [41] |
Ljungqvist, A., F. C. Marston, H. Yan and L. T. Starks, 2007, “Conflicts of Interest in Sell-Side Research and the Moderating Role of Institutional Investors”, Journal of Financial Economics, 85(2), pp.420～456.
|
| [42] |
Loh, R. K. and R. M. Stulz, 2018, “Is Sell-Side Research More Valuable in Bad Times？”, The Journal of Finance, 73(3), pp.959～1013.
|
| [43] |
Pagan, A. R. and K. A. Sossounov, 2003, “A Simple Framework for Analyzing Bull and Bear Markets”, Journal of Applied Econometrics, 218(1), pp.23～46.
|
| [44] |
Soltes, E.F., 2014, “Private Interaction Between Firm Management and Sell-Side Analysts”, Journal of Accounting Research, 52(1), pp.245～272.
|
|
|
|
