徐飞

關键词：放松卖空管制;分析师评级;机构投资者;股价崩盘风险

摘 要：证券分析师是资本市场重要信息中介，然而分析师能否有效发挥作用却存在分歧，最突出问题是限制卖空条件下分析师存在选择性评级行为，其后果是加剧股价崩盘风险。为此，本文从中国试点融资融券政策出发，构建基于放松卖空管制、分析师评级与股价崩盘风险分析框架，揭示分析师倾向乐观评级的制度诱因与后果，并检验中国放松卖空管制的效果。主要研究结论包括：（1）A股上市分析师乐观评级并未降低上市公司股价崩盘风险，反而加剧上市公司股价崩盘风险;（2）融资融券业务有助于缓解分析师乐观评级对于股价崩盘风险影响;（3）异质性检验显示，分析师乐观评级对于国有企业和控股股东未质押企业的股价崩盘风险影响更明显;（4）机制检验显示，分析师乐观评级会通过增加机构投资者买入积极性以及上市公司溢价并购行为而增加股价崩盘风险。根据研究结论，监管部门要完善卖空制度，强化分析师完整性披露要求。

中图分类号：F830.91文献标识码：A文章编号：1001-2435（2021）04-0106-16

Deregulation of Short Selling， Analyst Ratings and Stock Price Crash Risk： Inspection of M&A Mechanism Based on Institutional Shareholding and Premium

XU Fei （School of Economics and Management，Anhui Normal University，Wuhu Anhui 241002，China）

Key words： deregulation of short selling; analyst ratings; institutional investors; stock price crash risk

Abstract： Securities analysts are important information intermediaries in the capital market， but whether analysts can effectively play a role is controversial. The most prominent problem is to restrict the selective rating behavior of analysts under short selling， which will aggravate the risk of stock price crash. Therefore， from the perspectives of Chinas pilot margin lending and short selling policies， this paper builds an analysis framework based on the loosening of short selling control， analyst rating and stock price crash risk， reveals the institutional incentives and consequences of analysts tendency to optimistic rating， and tests the effect of Chinas loosening of short selling control. The main research conclusions of this paper include： （1） The optimistic rating of A-share listed analysts does not reduce the risk of stock price collapse of listed companies， but aggravates the risk of stock price collapse of listed companies; （2） Margin and short selling business help to alleviate the impact of analysts optimistic rating on the stock price crash risk; （3） The heterogeneity test shows that the analysts optimistic rating has a more significant impact on the stock price crash risk of state-owned enterprises and enterprises that are not pledged by controlling shareholders; （4） The mechanism test shows that the analysts optimistic rating will increase the risk of stock price collapse by increasing the buying enthusiasm of institutional investors and the premium M&A behavior of listed companies. According to the conclusion of this study， the regulatory authorities should improve the short-selling system and strengthen the requirements of analyst integrity disclosure.

一、引 言

证券分析师是资本市场重要的信息中介，具备信息挖掘和信息分析能力。[1]分析师通过发布评价报告向市场公开传递信息，进而改善公司信息环境、提高市场信息效率。[2，3]Beyer等的研究表明，作为重要的市场信息中介，财务分析师关于上市公司的盈余预测提供了22%的会计信息。[4]中国作为新兴资本市场，明星分析师、女性分析师以及利益关联的分析师众多，他们对于资本市场影响更突出。……