The Degree Of Analyst Attention And The Degree Of Stock Speculation

There are three major characteristics of stock speculation: from the perspective of motivation,speculation does not create value,only pay attention to price;from the method point of view,speculation is arbitrage,it is to use other people's mistakes to gain benefits;from the frequency point of view,speculation is short-term frequent entry and exit behavior,which led to market volatility.In China's stock market in which equity and investor structure are special,many investors do not enter the stock market for dividend interest,but for capital interest,expecting the stock price to rise in the future,which is considered as speculative trading.There are a large number of investors in China who are retail investors.The information obtained by retail investors to make investment decisions is considerably noisy,which affects the correct perception of the value of investment targets by retail investors.In addition,retail investors tend to present a tendency to follow the trend and by rational institute investors try their best to initiate speculative shocks to the market,which enhance the degree of speculative trading.As an information intermediary in the securities market,securities Analyst has a more information,special analysis and insight of the company and the market.In addition,analysts are concerned about improving the authenticity and accuracy of information.Moreover,analysts can effectively reduce the company's earnings management behavior,which will quality of the published reports and reduce the degree of information asymmetry between investors and companies,which eventually reduces the information noise that investors get.The main logic of this paper is: there is widespread speculation in China's A-share market,and the degree of speculation is high because of information asymmetry.Analysts,as the information intermediary of the market,can effectively reduce information asymmetry,which can significantly reduce the degree of speculation in the market.The definition of stock speculation in this paper is that due to the irrational behavior of investors in stock trading,the stock turnover rate may deviate from the normal turnover rate.The positive deviation indicates excessive trading,and the negative deviation indicates insufficient trading.Stock speculation is defined as this abnormal deviation of the stock turnover rate.This paper measures stock speculative by calculating the abnormal turnover rate of stocks and take the absolute value(indicated by ATR in this paper),which means the degree of deviation of the stock turnover rate from the normal level.The larger the ATR is,the more severe the stock turnover rate deviates from normal level,which means higher speculation trading.As to independent variables,this paper chooses the number of analysts related to listed companies,report written by analysts and brokers related to analyst.Moreover,this paper chooses 3 adjusted dummy variables to enrich the research which are GEM listed companies,R&D investment proportion,non-state-owned.The result of empirical research are as following: First,analyst's attention has significant negative effects on the speculative trading rate;Second,for the companies listed on the GEM,the analyst's attention has a stronger suppressive effect on the speculative trading rate;Third,for the company with higher R&D investment proportion,the analyst's attention has a stronger suppressive effect on the speculative trading rate.Fourth,for non-stateowned enterprises,the analyst's attention has a stronger suppressive effect on the speculative trading rate.This paper controls the endogeneity caused by sample selective bias through Heckman two-stage regression.In the end,the robustness test is performed by using the substitute dependent variables and the two-dimensional clustering regression.In all empirical tests,the empirical results are consistent,indicating that the research conclusions in this paper are robust.