Analyst Sentiment Orientation And Stock Price Return

With the development of China’s securities market,the team of securities analysts in China is also growing.Meanwhile,its impact on the capital market has gradually deepened.As an important participant in the capital market,securities analysts can directly discuss with the management of the listed company through telephone conferences,company research,etc.,and can obtain important time-effect information that the listed company has not publicly disclosed.They publish research reports on companies based on public and non-public information,and undertake information bridges between investors and listed companies.Analysts not only provide professional advice for investors’ investment decisions,but also play a supervisory role in the development of listed companies.But studies have shown that analysts are bounded rational and emotional.The external environment,such as the company’s information disclosure environment,regulatory system and market sentiment,will have an impact on analysts’ behavior.At the same time,analysts have their motives to cater to investors’ irrational emotions and write irrational research reports for their own development.Therefore,it is of practical significance to construct an analyst’s sentiment indicator and explore its relationship with the stock price return.The traditional asset pricing theory holds that the stock price is equal to the discounted value of the listed company’s future cash flow,so the decline in capital cost and the increase in future cash flow will cause the stock price to rise.On the one hand,analysts can reduce the degree of information asymmetry between investors and listed companies as well as increase the visibility of stocks by publishing research reports on individual stocks.Studies have shown that as the degree of information asymmetry decreases,investors’ sensitivity to liquidity risk will be significantly reduced.At the same time,as the visibility of stocks increases,investors’ awareness of stocks can be raised and the trait risk of stocks can be dispersed.Whether it is the weakening of liquidity risk sensitivity or the dispersion of stock trait risk,it can reduce the cost of capital and cause the rise of stock price.On the other hand,by transmitting time-sensitive information,analysts can help investors supervise the decision-making of listed company management,and can play an external governance role to increase the company’s future cash flow,which in turn will cause stock prices to rise.Therefore,based on the perspective of the research market reaction,it is of theoretical significance to explore the relationship between analyst sentiment and stock price return.This paper takes the Shanghai and Shenzhen 300 Index constituent stocks as the stock sample selection interval.In order to eliminate the impact of accounting system and index adjustment,financial stocks,ST stocks,and stocks that were indexed and reincorporated during the sample collection period were excluded.Collecting sample research reports released by analysts during 2009-2017 as a sample of text analysis.The emotional vocabulary of the research report text is used as the characteristic word.The proxy variable of the analyst’s emotion is constructed by the text analysis method.Compared with the proxy variables of analysts’ emotions such as the number of analysts and rating in the existing research,the emotional agent variables constructed by text analysis can more accurately reflect the analyst’s emotional tendency and emotional strength.The annual average analyst sentiment value is taken as the analyst’s sentiment indicator.The number of individual stocks published by the analysts as the analyst’s attention indicator,the annual average daily stock price return as the explanatory variable,the annual average market value,turnover rate,volume and amount as control variables,establish a two-way fixed-effect model of annual data,explore the relationship between analyst sentiment and stock price return,and subdivide the time interval into semi-annual,use semi-annual data to make the model results robust test.The results show that analysts’ emotions have an asymmetric effect.Analysts are more inclined to release optimistic research opinions.Meanwhile,there is a significant positive relationship between analyst sentiment and stock price return.Analysts using positive emotional vocabulary in research reports will cause significant price increases.And compared with analysts’ attention,the relationship between analyst sentiment and stock price return is more robust.