The Effect Of The Fund-holding Of Chinese Listed Companies On Analysts' Concern And Voluntary Information Disclosure

This paper uses the exogenous jump of the company fund's shareholding level at the demarcation point of the CSI 300 Index and the CSI 500 Index.The two-stage least-squares regression method is the main method.The breakpoint regression method is the auxiliary method to study this change to the demarcation point.The voluntary information disclosure of the two sides and the influence of the analysts on the company's attention have avoided the interference of the inter-causal endogenous issues on the research of this article and have drawn a reliable causal inference.The research in this paper shows that the increase in the level of fund holdings can significantly increase the accuracy of the company's voluntary disclosure of information,but this effect is not caused directly by the fund's shareholding,but is indirectly caused by the analyst's concern with the company.Specifically,the increase in the level of fund holdings first raised the analyst's attention to the company,and then the increased degree of analyst attention to the company increased the accuracy of the company's voluntary disclosure of information.The CSI 300 Index and the CSI 500 Index issued and maintained by China Securities Index Co.,Ltd.are all scale indices and are mainly based on the company's daily average market value.The constituent companies of the two companies are adjacent to each other in the distribution of the company's market value.Specifically,the CSI 300 includes the stocks of 300 companies with the largest daily average market capitalization in the sample space,while the CSI 500 includes the same sample space,and the daily average market value not included in the CSI 300 Index is the largest.Among the 500 companies,they jointly formed the China Securities 800 Index,which is the stock of the 800 companies with the largest average daily market capitalization in the sample space.Under such a construction rule,the scales of the tail stocks of the Shanghai and Shenzhen 300 Index and the head of the China Securities 500 Index on both sides of the demarcation point of the Shanghai-Shenzhen 300 Index and the China Securities 500 Index are relatively close,and the main basis for the allocation is Scale,which does not involve the characteristics of other companies,can be considered as random allocation.Therefore,the characteristics of companies on both sides of the demarcation point should not have obvious heterogeneity.There are many index funds based on the CSI 300 Index and the CSI 500 Index,index-enhanced funds,and numerous performance assessments based on the CSI 300 or CSI 500 earnings.These funds have similar construction and indices.The investment portfolios track the momentum of the index changes.This article refers to these funds as Quasi-Indexers.Due to the limited size of the semi-indexed fund itself,it is impossible to construct an investment portfolio that is identical to the index because of the tracking of costs,and it is necessary to make a trade-off on the constituent stocks of the index.The price changes of high-weighted stocks in the index have a great influence on the index.At the same time,the market value is relatively high,the company's operating risk is generally small,and stock liquidity is generally better.Quasi-index fund managers' preference for high-weight stocks in the index is much higher than Low-weight stocks in the index,so fund managers will overweight high-weight stocks,with little or no allocation of low-weight stocks.Therefore,a clear jump in the proportion of fund holdings can be observed at the cut-off point between the CSI 300 Index and the CSI 500 Index.The jump in the proportion of the above fund's shareholdings is due to the preference of high-weighted stocks in the index due to the balance of costs and benefits when the fund manager tracks the index,and the voluntary disclosure of the company's research and the analyst's The degree of concern is irrelevant,which means that the change in the shareholding ratio of the fund is exogenous.With this exogenous change,this paper has designed a breakpoint regression and a two-stage least squares regression to test the research hypothesis of this paper.The following conclusions are drawn:(1)The increase in the level of fund holdings can significantly increase the accuracy of voluntary disclosure of the company's information,but it can not significantly increase the frequency of voluntary disclosure;(2)The increase in the level of fund holdings can significantly increase the analysis.The degree of attention of the division to the company held by the stockholder;(3)The influence of the level of the fund holding on the attention of the analyst is direct,and the impact on the accuracy of the voluntary disclosure of the company's information is indirect.This indirect effect is actually caused by analysts' concern;(4)Increased accuracy of voluntary disclosure of information can attract more analysts' attention.