分析师的机构客户迎合和声誉权衡:推荐的战略时机

IF 1.3 Q3 BUSINESS, FINANCE
Anna Agapova, Uliana Filatova
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引用次数: 0

摘要

我们研究卖方分析师是否有策略地选择他们的有利建议,以迎合机构投资者,同时保留分析师的声誉资本。虽然先前的文献文献表明,分析师会为其机构客户(特别是共同基金)投资组合中的股票提供更积极的推荐,但并没有明确指出与这种做法相关的声誉成本。使用2002-2017年期间分析师对美国公司的建议样本,我们记录了一种模式,即分析师的建议在一个季度的最后一个月更乐观,在一个季度的第一个月更不乐观。这种时间模式与投资组合经理的季度报告期有关,积极管理的共同基金的持仓受到的影响最大。获得《机构投资者》全明星排名的分析师不参与这种股票推荐时机的做法。市场参与者似乎相信,在一个季度的最后一个月,对机构持股较多、累计异常回报较高的股票发布的乐观建议,可以上调或下调评级。JEL分类:G14, G24
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analysts’ Institutional Client Catering and Reputation Tradeoff: Strategic Timing of Recommendations
We examine whether sell-side analysts strategically time their favorable recommendations to cater to institutional investors while preserving analysts’ reputational capital. Although prior literature documents that analysts provide more positive recommendations for stocks that are part of their institutional clients’ (specifically, mutual funds’) portfolios, it does not explicitly address a reputation cost associated with such practice. Using a sample of analysts’ recommendations on U.S. firms for the 2002–2017 period, we document a pattern of analysts’ recommendations being more optimistic in the end month of a quarter and less optimistic in the beginning month of a quarter. This timing pattern ties to quarterly reporting periods of portfolio managers, with actively managed mutual funds’ holdings being affected the most. Analysts with Institutional Investor All-Star ranking do not engage in such stock recommendation timing practices. The market participants seem to believe rosy recommendations issued for stocks with more institutional holdings in the end month of a quarter with more positive cumulative abnormal returns to upgrade and downgrade recommendations. JEL classifications: G14, G24
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来源期刊
CiteScore
4.20
自引率
7.10%
发文量
27
期刊介绍: The Journal of Accounting, Auditing, and Finance (JAAF) is committed to publishing high quality studies in accounting and related fields. Papers on accounting issues relating to developing in other fields such as finance, economics, and operations are also welcome. Empirical, analytical and experimental works of all varieties and paradigms, normative as well as positive, will be considered, provided they significantly contribute to the advancement of our knowledge in accounting. Manuscripts submitted should contain original unpublished research and should not be under consideration for possible publication elsewhere.
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