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在我国A股市场中,股评报告的发表对个股交易额的影响如何,这是一个证券分析师、券商、投资者、证券管理部门以及上市公司管理人员都感兴趣的问题。本文以我国A股市场的595份股评报告作为样本数据,采用半参数平均处理效应(ATE)模型,估计股评报告对个股交易额的平均处理效应,并检验估计值的显著性。我们在模型中控制了个股所属板块以及相应大盘成交额的变化,剔除了这两个因素对个股交易额变化的影响;采用随机系数来描述每只个股对各自股评报告反应的差异性;对模型中的随机扰动项采用半参数的处理方式,没有人为假定其具体分布,加强了模型的稳健性。实证计算的结果表明在我国A股市场中,股评报告对个股的成交额确实存在影响。
In China’s A-share market, the impact of the publication of the stock assessment report on the trading volume of individual stocks is an issue that is of interest to securities analysts, securities firms, investors, securities administrations and the managers of listed companies. In this paper, we use the 595 stock assessment reports of A-share market in our country as the sample data and estimate the average effect of the stock assessment report on the trading volume of individual stocks by using the semi-parametric average treatment effect (ATE) model and test the significance of the estimated value. In the model, we control the changes of the stocks of the individual stocks and the corresponding market turnover, excluding the impact of these two factors on the turnover of individual stocks. We use the random coefficient to describe the variance of the response of each stock to the stock assessment. The random perturbation items in the semi-parametric approach, no one assumes the specific distribution, and enhance the robustness of the model. Empirical results show that in our A-share market, stock assessment report on the turnover of individual stocks does have an impact.