金融中介与市场质量:分析师VS做市商
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摘要
基于中国新三板市场的特殊环境,研究了作为金融信息中介的分析师和作为金融交易中介的做市商对新三板市场质量的影响及其作用机制。结果发现:新三板市场的分析师跟踪和做市商做市均能显著提高股票流动性,且两者对股票流动性的作用具有替代性;做市商做市能够显著提高信息的有效性,但分析师跟踪对信息有效性的作用不显著,且两者对信息有效性不存在显著的交互作用。
Based on the special environment of China's new three board,the paper analyzes the effects of financial analyst and market maker on market quality and its mechanism.The results show that,the financial analyst and market maker can both enhance the stock liquidity significantly,and the effect between the financial analyst and market maker is substituted.The market maker can enhance information efficiency,but the effect of financial analyst on information efficiency is insignificant.Furthermore,the financial analyst and market maker have no interaction effect on information efficiency.
Based on the special environment of China's new three board,the paper analyzes the effects of financial analyst and market maker on market quality and its mechanism.The results show that,the financial analyst and market maker can both enhance the stock liquidity significantly,and the effect between the financial analyst and market maker is substituted.The market maker can enhance information efficiency,but the effect of financial analyst on information efficiency is insignificant.Furthermore,the financial analyst and market maker have no interaction effect on information efficiency.
引文
[1]Amihud Y,Mendelson H.Asset Pricing and the Bid-Ask Spread[J].Journal of Financial Economics,1986,17(2):223-249.
[2]陈辉,顾乃康,万小勇.股票流动性、股权分置改革与公司价值[J].管理科学,2011(3):43-55.
[3]Chen Q,Goldstein I,Jiang W.Price Informativeness and Investment Sensitivity to Stock Price[J].Review of Financial Studies,2007,20(3):619-650.
[4]Bradley D,Clarke J,Lee S,Ornthanalai C.Are Analysts’Recommendations Informative?Intraday Evidence on the Impact of Time Stamp Delays[J].The Journal of Finance,2014,69(2):645-673.
[5]Roustone D.Analyst Following and Market Liquidity[J].Contemporary Accounting Research,2003,20(3):551-578.
[6]Demsetz H.The Cost of Transacting[J].The Quarterly Journal of Economics,1968,82(1):33-53.
[7]Grossman S,Miller M.Liquidity and Market Structure[J].The Journal of Finance,1988,43(3):617-633.
[8]Stoll H.Friction[J].The Journal of Finance,2000,55(4):1479-1514.
[9]Ramnath S,Rock S,Shane P.The Financial Analyst Forecasting Literature:A Taxonomy with Suggestions for Future Research[J].Internal Journal of Forecasting,2008,24(1):34-75.
[10]Kelly B,Ljungqvist A.Testing Asymmetric-Information Asset Pricing Models[J].Review of Financial Studies,2012,25(5):1366-1413.
[11]Merton R.A Simple Model of Capital Market Equilibrium with Incomplete Information[J].The Journal of Finance,1987,42(3):483-510.
[12]Bodnaruk A,Ostberg P.Does Investor Recognition Predict Returns[J].Journal of Financial Economics,2009,91(2):208-226.
[13]Li K,You H.What is the Value of Sell-Side Analysts?Evidence from Coverage Initiations and Terminations[J].Journal of Accounting and Economics,2015,60(2-3):141-160.
[14]Brennan M,Subrahmanyam A.Investment Analysis and Price Formation in Securities Markets[J].Journal of Financial Economics,1995,38(3):361-381.
[15]Chung K,Mclnish T H,Wood R A,Wyhowski D J.Production of Information,Information Asymmetry,and the Bid-Ask Spread:Empirical Evidence from Analysts'Forecasts[J].Journal of Banking&Finance,1995,19(6):1025-1046.
[16]曹胜,朱红军.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,2011(7):20-30.
[17]薛祖云,王冲.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[J].金融研究,2011(11):167-182.
[18]Grullon G,Kanatas G,Weston J.Advertising,Breadth of Ownership,and Liquidity[J].Review of Financial Studies,2004,17(2):439-461.
[19]Chennanur T,Yan A.Product Market Advertising and New Equity Issues[J].Journal of Financial Economics,2009,92(1):40-65.
[20]Venkataraman K,Waisburd A.The Value of the Designated Market Maker[J].Journal of Financial and Quantitative Analysis,2007,42(3):735-758.
[21]Menkveld A,Wang T.How do Designated Market Makers Create Value for Small-Caps[J].Journal of Financial Markets,2013,16(3):571-603.
[22]马永波,郭牧炫.做市商制度、双边报价与市场稳定性——基于银行间债券市场做市行为的研究[J].金融研究,2016(4):50-65.
[23]金永军,扬迁,刘斌.做市商制度最新的演变趋势及启示[J].证券市场导报,2010(10):24-34.
[24]Glosten L,Milgrom P.Bid,Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders[J].Journal of Financial Economics,1985,14(1):71-100.
[25]Fama E.Efficient Capital Markets:II[J].The Journal of Finance,1991,46(5):1575-1617.
[26]Hou K,Moskowitz T.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].The Review of Financial Studies,2005,18(3):981-1020.
[27]Piotroski J,Roulstone B.The Influence of Analyst,Institutional Investor,and Insiders on the Incorporation of Market,Industry,and Firm Specific Information into Stock Prices[J].The Accounting Review,2004,79(4):1119-1151.
[28]Chan K,Hameed A.Stock Price Synchronicity and Analyst Coverage in Emerging Markets[J].Journal of Financial Economics,2006,80(1):115-147.
[29]朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场效率吗——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007(1):110-121.
[30]徐虹,林钟高,李倩.管理层权力、客户集中度与股权激励[J].广东财经大学学报,2015(3):86-96.
[31]冯旭南,李心愉.中国证券分析师能反映公司特质信息吗——基于股价同步性和分析师跟踪的证据[J].经济科学,2011(4):99-106.
[32]姜超.证券分析师、内幕消息与资本市场效率——基于中国A股股价中公司特质信息含量的经验证据[J].经济学(季刊),2013(2):429-452.
[33]俞军,魏朱宝,杨春清.投资者情绪、异质预期与定向增发公告效应[J].广东财经大学学报,2016(3):82-92.
[34]伊志宏,李颖,江轩宇.女性分析师关注与股价同步性[J].金融研究,2015(11):175-188.
[35]代昀昊,陆婷,杨薇,孔东民.股价同步性与信息效率[J].金融评论,2012(1):82-92.
[36]Kelly P.Information Efficiency and Firm-Specific Return Variation[J].Quarterly Journal of Finance,2014,4(4):1-44.
[37]程博,王菁,熊婷.产权性质、管理层持股与外部审计需求[J].广东财经大学学报,2016(1):78-88.
[38]Lesmond D,Ogden J,Trzcinka C.A New Estimate of Transaction Costs[J].Review of Financial Studies,1999,12(5):1113-1141.
[39]Amihud Y.Illiquidity and Stock Returns:Cross-Section and Time-Series Effects[J].Journal of Financial Markets,2002,5(1):31-56.
[40]Amihud Y,Mendelson H.Liquidity,the Value of the Firm,and Corporate Finance[J].Journal of Applied Corporate Finance,2008,20(2):32-45.
[41]张铮,李怡宗,张玉龙,刘翔.中国股市流动性间接指标的检验——基于买卖价差的实证分析[J].经济学(季刊),2013(1):233-262.
[42]甄丽明,唐清泉.机构投资者是更积极的监督者吗——来自创业板的证据[J].广东财经大学学报,2015(1):96-103.
[43]车嘉丽,段然.战略差异度、女性高管与企业成本粘性——来自制造业上市公司的经验证据[J].广东财经大学学报,2016(6):64-74.
(1)截至2015年12月31日,我国主板上市公司总数为1 641家,中小板、创业板上市公司总数为1 263家(数据来源于WIND数据库)。
(2)达成交易所需要支付的成本包括佣金和印花税、买卖价差和价格冲击(Amihud and Mendelson,2008)[40]。其中,佣金和印花税固定不变,在研究中往往不予讨论。由于买卖价差的计算需要使用高频交易数据,而在现有数据库中是没有新三板市场高频交易数据的,因此买卖价差难以计算。由于价格冲击指标与买卖价差通常呈正相关关系(张铮等,2013;甄丽明,2015;车嘉丽,2016)[41-43],因此价格冲击指标是交易成本的良好度量。
[2]陈辉,顾乃康,万小勇.股票流动性、股权分置改革与公司价值[J].管理科学,2011(3):43-55.
[3]Chen Q,Goldstein I,Jiang W.Price Informativeness and Investment Sensitivity to Stock Price[J].Review of Financial Studies,2007,20(3):619-650.
[4]Bradley D,Clarke J,Lee S,Ornthanalai C.Are Analysts’Recommendations Informative?Intraday Evidence on the Impact of Time Stamp Delays[J].The Journal of Finance,2014,69(2):645-673.
[5]Roustone D.Analyst Following and Market Liquidity[J].Contemporary Accounting Research,2003,20(3):551-578.
[6]Demsetz H.The Cost of Transacting[J].The Quarterly Journal of Economics,1968,82(1):33-53.
[7]Grossman S,Miller M.Liquidity and Market Structure[J].The Journal of Finance,1988,43(3):617-633.
[8]Stoll H.Friction[J].The Journal of Finance,2000,55(4):1479-1514.
[9]Ramnath S,Rock S,Shane P.The Financial Analyst Forecasting Literature:A Taxonomy with Suggestions for Future Research[J].Internal Journal of Forecasting,2008,24(1):34-75.
[10]Kelly B,Ljungqvist A.Testing Asymmetric-Information Asset Pricing Models[J].Review of Financial Studies,2012,25(5):1366-1413.
[11]Merton R.A Simple Model of Capital Market Equilibrium with Incomplete Information[J].The Journal of Finance,1987,42(3):483-510.
[12]Bodnaruk A,Ostberg P.Does Investor Recognition Predict Returns[J].Journal of Financial Economics,2009,91(2):208-226.
[13]Li K,You H.What is the Value of Sell-Side Analysts?Evidence from Coverage Initiations and Terminations[J].Journal of Accounting and Economics,2015,60(2-3):141-160.
[14]Brennan M,Subrahmanyam A.Investment Analysis and Price Formation in Securities Markets[J].Journal of Financial Economics,1995,38(3):361-381.
[15]Chung K,Mclnish T H,Wood R A,Wyhowski D J.Production of Information,Information Asymmetry,and the Bid-Ask Spread:Empirical Evidence from Analysts'Forecasts[J].Journal of Banking&Finance,1995,19(6):1025-1046.
[16]曹胜,朱红军.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,2011(7):20-30.
[17]薛祖云,王冲.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[J].金融研究,2011(11):167-182.
[18]Grullon G,Kanatas G,Weston J.Advertising,Breadth of Ownership,and Liquidity[J].Review of Financial Studies,2004,17(2):439-461.
[19]Chennanur T,Yan A.Product Market Advertising and New Equity Issues[J].Journal of Financial Economics,2009,92(1):40-65.
[20]Venkataraman K,Waisburd A.The Value of the Designated Market Maker[J].Journal of Financial and Quantitative Analysis,2007,42(3):735-758.
[21]Menkveld A,Wang T.How do Designated Market Makers Create Value for Small-Caps[J].Journal of Financial Markets,2013,16(3):571-603.
[22]马永波,郭牧炫.做市商制度、双边报价与市场稳定性——基于银行间债券市场做市行为的研究[J].金融研究,2016(4):50-65.
[23]金永军,扬迁,刘斌.做市商制度最新的演变趋势及启示[J].证券市场导报,2010(10):24-34.
[24]Glosten L,Milgrom P.Bid,Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders[J].Journal of Financial Economics,1985,14(1):71-100.
[25]Fama E.Efficient Capital Markets:II[J].The Journal of Finance,1991,46(5):1575-1617.
[26]Hou K,Moskowitz T.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].The Review of Financial Studies,2005,18(3):981-1020.
[27]Piotroski J,Roulstone B.The Influence of Analyst,Institutional Investor,and Insiders on the Incorporation of Market,Industry,and Firm Specific Information into Stock Prices[J].The Accounting Review,2004,79(4):1119-1151.
[28]Chan K,Hameed A.Stock Price Synchronicity and Analyst Coverage in Emerging Markets[J].Journal of Financial Economics,2006,80(1):115-147.
[29]朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场效率吗——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007(1):110-121.
[30]徐虹,林钟高,李倩.管理层权力、客户集中度与股权激励[J].广东财经大学学报,2015(3):86-96.
[31]冯旭南,李心愉.中国证券分析师能反映公司特质信息吗——基于股价同步性和分析师跟踪的证据[J].经济科学,2011(4):99-106.
[32]姜超.证券分析师、内幕消息与资本市场效率——基于中国A股股价中公司特质信息含量的经验证据[J].经济学(季刊),2013(2):429-452.
[33]俞军,魏朱宝,杨春清.投资者情绪、异质预期与定向增发公告效应[J].广东财经大学学报,2016(3):82-92.
[34]伊志宏,李颖,江轩宇.女性分析师关注与股价同步性[J].金融研究,2015(11):175-188.
[35]代昀昊,陆婷,杨薇,孔东民.股价同步性与信息效率[J].金融评论,2012(1):82-92.
[36]Kelly P.Information Efficiency and Firm-Specific Return Variation[J].Quarterly Journal of Finance,2014,4(4):1-44.
[37]程博,王菁,熊婷.产权性质、管理层持股与外部审计需求[J].广东财经大学学报,2016(1):78-88.
[38]Lesmond D,Ogden J,Trzcinka C.A New Estimate of Transaction Costs[J].Review of Financial Studies,1999,12(5):1113-1141.
[39]Amihud Y.Illiquidity and Stock Returns:Cross-Section and Time-Series Effects[J].Journal of Financial Markets,2002,5(1):31-56.
[40]Amihud Y,Mendelson H.Liquidity,the Value of the Firm,and Corporate Finance[J].Journal of Applied Corporate Finance,2008,20(2):32-45.
[41]张铮,李怡宗,张玉龙,刘翔.中国股市流动性间接指标的检验——基于买卖价差的实证分析[J].经济学(季刊),2013(1):233-262.
[42]甄丽明,唐清泉.机构投资者是更积极的监督者吗——来自创业板的证据[J].广东财经大学学报,2015(1):96-103.
[43]车嘉丽,段然.战略差异度、女性高管与企业成本粘性——来自制造业上市公司的经验证据[J].广东财经大学学报,2016(6):64-74.
(1)截至2015年12月31日,我国主板上市公司总数为1 641家,中小板、创业板上市公司总数为1 263家(数据来源于WIND数据库)。
(2)达成交易所需要支付的成本包括佣金和印花税、买卖价差和价格冲击(Amihud and Mendelson,2008)[40]。其中,佣金和印花税固定不变,在研究中往往不予讨论。由于买卖价差的计算需要使用高频交易数据,而在现有数据库中是没有新三板市场高频交易数据的,因此买卖价差难以计算。由于价格冲击指标与买卖价差通常呈正相关关系(张铮等,2013;甄丽明,2015;车嘉丽,2016)[41-43],因此价格冲击指标是交易成本的良好度量。