An Empirical Research Of Security Analysts’deep Report Information Quality And Influence Factors

Security analysts play a critical role in the security market. They provide investors with investment reference based on the collected industry and enterprise information and their reports. Research reports are the most important information carrier, of which the information is very essential for the security market efficiency. In practice, as analysts are influenced by external stakeholders (employers and clients) and personal capabilities and emotion, the information quality varies. Therefore, it is quite meaningful to investigate the information quality of Chinese security analysts’ reports. A survey about the information quality of Chinese security analysts’ report is made in this paper, helping identify related factors.This paper is divided into the following six parts:Part I:Introduces the development process of Chinese security market and specifies our motivation of research.Part II:Summarizes industry development of domestic and international security analysts. And indicate there are three kinds of analysts.Our study is confine to sell-side analysts.Part III:Makes comprehensive literatures review. Literatures review suggests that although the literature samples and research methods improve all the time, the conclusions are similar, which all indicate that analysts’report have information content in short-term and medium-term.Part Ⅳ:Selects all analysts’ reports for HS300index constituent stocks as samples and employs event study to calculate AAR and CAAR in short term and long term, which can reflect the information quality.Part V:Employs multiple linear regression to determine information quality factors and make explanations.Part VI:Comes to conclusions and gives some advice for security regulators.We have some conclusions as follows:(1)"Strong buy" and "overweight" ratings achieve AAR and CAAR significantly in short and medium term. But the duration of "over-weight" is shorter than "strong-buy"."Natural" ratings have minus AAR and CAAR, which indicate market see them as bad news."Sell" ratings have no information content. We think this maybe relate to samples.(2) In short-time, investment bank reputation, target price, ratings, scale of ratings all have significant relations with CAR. Investment bank relations have negative correlations with CAR. Analysts’reputation has little influence. In medium-time, target prices, ratings, scale of ratings have positive correlation with WCAR. Analysts’ reputation, investment bank reputation and relation have little impact on WCAR.This paper has two innovative points. First, Deep research reports are used as samples for the first time and sample data are manually collected. Compare with other papers, the AAR and CAAR in this paper is larger and more significant. Second, some new elements are selected for estimation equation. According to the research in this paper, target prices may contain some information, which is rare in domestic papers.There are also some limits in this paper. Because of manually collected data, we only select HS300Index constituent stocks for research. Broader scope of samples will be benefit for our study, which is also a further study subject.