The effect of analyst report similarity on stock comovement
Stock comovement is the main manifestation of risk contagion in the financial mar-ket,and it is of great significance to study the influencing factors of stock price linkage to prevent and resolve systemic financial risks.Few literatures pay attention to the relationship between the similar information contained in analyst reports and stock price linkage,but securities analysts play an important role as information intermediaries in the stock market,and the similar infor-mation produced by them will affect the stock price linkage by causing investors to trade in the same direction.Based on the analyst reports of A-share listed companies from January 2015 to May 2023,this paper introduces the TF-IDF text analysis method to measure the textual simi-larity of joint analyst reports and individual analyst reports,and discusses the impact of similar information in analyst reports on stock price linkage.The study finds that:1)Similar informa-tion in analyst reports can significantly promote stock comovement.2)The trading behavior of individual and institutional investors plays an intermediary role in the impact of text similarity on stock comovement.3)Co-analysts produce more similar information,exacerbating the stock comovement vision,and further research shows that the conclusion is more significant if stocks belong to the same industry.The research results are helpful to deeply understand the influence mechanism of information produced by analysts on stock price linkage,and provide a theoretical basis for investors to invest rationally and regulators to strengthen market management.
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NSTL
万方数据
