| With Chinese stock market’s rapid development, the number of investors will increase gradually, but many investors do not have the professional knowledge in investment. It is difficult for them to analyze complex macro-economic environment and the continuous transformation of the capital market by themselves. Therefore as the times require, security analysis industry appears. Security analyst influence the investment decisions of investors by publishing a variety of grading, such as "strongly recommended"," hold"," wait and see","sell". Analysts play an important role in improving capital market information content and efficiency, lowering synchronization of stock price, enhancing the guide of price on resource allocation. However, the recent emergence of series of "the Research Report Door " make people doubt on the analysts’ independence.Whether the analyst ratings have investment value has always been the domestic and foreign scholars’concern, the abroad studies consistently show that the analyst ratings have investment value, it has played an important role in discovering the value of listed companies and stabilizing stock price. However, domestic scholars produced differences through the analyst rating value research, early scholars believe that the analyst ratings do not have investment value, but scholars in recent years believed that the analyst ratings have investment value. So, whether the analyst’s ratings have investment value is the first problem in this article.In the recently released "Securities Research Report practice guideline", China Securities Industry Association pointed there is suspicion that analysts industry exists insider trading. Before the release of research report, information related to core viewpoint has flown to the market, particular customers of securities institutions bought in, and after the release of the ratings, these particular customers began to dump, thus resulting in the ahead of reaction. Many scholars study also shows that China’s capital market has suspicion of insider trading. Then, whether the capital market of our country exists ahead reaction is the second problem studied in this article.Chinese investors are enthusiastic in chasing the trend of speculation, preferring in short-term operation, so the non-rational behavior of investors may influence the value of analysts’ rating. The innovation of this paper lies in classifying the analyst’rating stocks, classes are " hot" and" cold ", which mean high attention stock and low attention stock. Study on market reaction of stock of different rating and different attention, namely the influence of rating upgrade on stock with different attention. Therefore, whether different attention will result in different market performance is the third problem in this paper.In order to study the three problems mentioned above, this paper makes a descriptive analysis on the current analyst rating characteristics. After that, the article empirically tests the value of analyst’ratings, then tests the impact of analyst rating on stocks with different attention.In the empirical study, the paper uses the event study method. In the model selection, choosing the market model. Analyst ratings data comes from GTA CSMAR research database, and the exchange rate and rate of return data comes from the RESSET financial research database. This paper choose the " New Wealth" magazine’s top10best local research team in2009and2010, using theirs rating as data sample. The selected time interval of samples is one whole year of2010. This paper firstly divided the samples into two groups, up-regulated rating and down-regulated rating. Then sort all the stock sample in the up-regulated class by the average turnover rate in the first60trading day, divide the stocks into high turnover rate class and low turnover rate class by median value of turnover rate. This paper uses Houetal,2006; Roger K. Loh,2010; Wu Shi Nong,2010, etc, scholars’method, using turnover rate as the measure of the market’s attention of stocks. Stocks whose turnover rate are higher than the median turnover rate are defined as the high attention stocks; Stocks whose turnover rate are lower than the median turnover rate are defined as the low attention stocks. The event day chooses the analyst ratings published date, this paper calculates the cumulative abnormal rate of return20days before and60days after the day ratings are released, the reason of calculate the cumulative abnormal rate of return60days after published is to verify the existence of stock drift phenomenon. Research shows, analyst ratings have investment value. At the up-regulated ratings released day, stocks have shown significantly abnormal returns, the1%confidence level was obviously not0, this proves that the up-regulated ratings have some investment value. Cumulative abnormal rate of return reaches a peak at the22th trading day, after that gradually goes down. With down-regulated ratings, short-term effect is not significant at the released day, the cumulative abnormal rate of return gradually increases after released day, at the57th day after the rating day reaches a peak, then maintains at a high level down-regulated ratings have obvious price drift phenomenon, and down-regulated ratings have more information content. The cumulative abnormal rate of return of3days time window is2.955times of that of60days, but of down-regulated ratings, it is0.04times. So. in the60days event window, up-regulated ratings are of over-reaction, down-regulated ratings are of lack reaction.Antedating response exists in China’s stock market.20days and3days before ratings are released, T values of both Stocks of high concern and low concern were obviously not0at5%confidence level and stocks of high concern did not pass T test.10days before ratings are released, the Cumulative abnormal rate of return of stocks of high concern is3.242, and for stocks of low concern is1.1245.3days before released, the value is2.4415and1.17355. So before the ratings are released, there is antedating response existing in stocks of up-regulated ratings. Among them, the length and intensity of response and of stocks of up-regulated ratings is higher than stocks of down-regulated ratings and antedating response in stocks of up-regulated ratings is also more intensive.In up-regulated ratings team, the short-term effect of stocks with low attention is more significant, and the price drift of stocks with high attention is much more obvious. The T value of stocks with low concern is obviously not0at10%level one day and three days after the released day. Stocks of high concern did not pass the T test. The Cumulative abnormal rate of return of stocks of low concern reached a peak at the5th trading day after released day, the value is2.2234, after that it began to decrease gradually. The Cumulative abnormal rate of return of stocks with high attention reached a peak at the30th trading day after released day, the value is2.2333. so after the day rating is released, the short-term effect of stocks with low attention is more significant. The reason is that after released day there is ahead reaction of up-regulated ratings, so the stocks of high concern over reacted ahead, so after rating day, the short term effect is not obvious. However, stocks with high attention have consistently been sought by investors, its rate of return is increasing steadily. Make difference of the two rate of return, before the18th trading day, the Cumulative abnormal rate of return of stocks with low attention is higher, and after the18th trading day, the Cumulative abnormal rate of return of stocks with high attention is higher, the value of the difference turns over. So the stock price drift in stocks of high concern is much more obvious.In down-regulated rating group, short-term effect of stock with high attention t is more significant, while the price drift of stocks with low attention is much more obvious..There is no advance reaction to the downgrading. On rating released day, the abnormal return of high-profile stock is of-1.3945, while the abnormal returns of the low attention stock is of only-0.3043.3trading days after the downgrades release, cumulative abnormal returns of high-profile stock is higher than those with low attention stock, respectively of-0.6055and-0.3993. In the60day event window, high-profile stock cumulative abnormal return is-3.303, and lower attention stock cumulative abnormal return is-3.788. Subtracting stock abnormal returns of different attention, the days before the eighth trading days after rating release, the cumulative abnormal return rate of stock with high attention is higher, and reacting more strongly, but on the eighth day after, cumulative abnormal return rate of stock with low attention is higher, and reacting more strongly.This paper draws a conclusion, attention differences lead to different market performance after analyst ratings, which lead to the overreaction or underreaction. TO the downgrading, market response to low attention stock is insufficient, which lead to price drift phenomenon. The market overreacts to high attention stock, so the short-term effect after ratings is more obvious. However, for the rating, due to their obvious early response, and response excessively, market performance after rating is diametrically opposite to the downgrading. High attention stock overreacted in advance before rating, which lead to lack of reaction after rating, short term effect is not as obvious as low attention stocks. However, investors continue pursuit the high attention stock, therefore in the longer term yields of the high attention stock rise steadily, then exceed the low attention stock, the price of the stock with high attention drift more obviously. |
