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Interest Conflict or Efficiency Improvement: Bank Affiliated Analysts in the Secondary Loan Market

来源:上海立信会计金融学院   点击率:
 

主题:Interest Conflict or Efficiency Improvement: Bank Affiliated Analysts in the Secondary Loan Market

报告人:倪晨凯 副教授

时间:20209213:30

腾讯会议平台 会议ID606 808 443

 报告人简介:

   主讲人倪晨凯是复旦大学管理学院会计系副教授,本科毕业于北京大学,博士毕业于新加坡国立大学。其在国际顶级期刊如The Accounting ReviewJournal of Financial and Quantitative Analysis发表论文多篇。主要研究方向为信息有效性、企业和个人税负。

报告内容简介:

This study examines whether syndicating banks utilize affiliated analysts’ research to shape the information environment and liquidity of the secondary loan market. We find that affiliated analysts exhibit a greater likelihood and a higher frequency of forecast issuance during the [-30, 30] window around a borrowing firm’s loan trading initiation date. Such an effect on coverage is more pronounced for banks that are poorly capitalized or that have more loan loss provisions. Coverage by affiliated analysts lowers bid-ask spreads of on-sale loans and increases the number of secondary loan market participants. However, the information provided by affiliated analysts is upward biased. This bias, induced by a combination of banks’ information advantage and affiliated analysts’ conflicts of interests, gets incorporated into pricing decisions of both loan- and equity investors.

本文分析发贷银行是否会利用其附属分析师的研究来影响贷款二级市场的信息环境和流动性。研究发现,附属分析师在贷款开始交易之日前后[-30,+30]的窗口期内,相比于其他分析师,更可能对借款企业发布盈余预测,且发布预测的频率也更高。当银行的资本充足率越低,不良贷款比率越高时,上述效应越明显。附属分析师的预测能够降低银行所批贷款在二级市场的买卖价差,并可以促进二级市场的参与率。然而,附属分析师所作出的预测也包含了更多的乐观性偏差。上述偏差源于银行的信息优势以及附属分析师的利益冲突。债券市场和权益市场的投资者对上述偏差有着理性预期,体现于其交易决策之中。

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