Wealth Transfer Effects of Analysts' Misleading Behavior
利用全球研究分析师和解案中的50个公司事件，发现分析师发布误导性披露期间，机构持股下降，个人投资者买入而机构卖出，个人投资者损失约为机构的两倍半，表明分析师误导行为导致财富从个人向机构转移。
We investigate a sample of 50 firm-events, identified in the Global Research Analysts Settlement, in which analysts were discovered to have acted misleadingly ex post. In this setting, analysts' incentives caused them to issue public disclosures that differed from their private beliefs. We document that these firms' institutional holdings decline significantly during the period in which the analysts issued misleading disclosures. During this period daily small-size trades (a proxy for individual investors) are dominated by buy orders while daily large-size trades (a proxy for institutional investors) are dominated by sell orders. Short interest increases during the event period, consistent with the idea that sophisticated investors are selling. Our estimates of investors' trading losses show that individual investors lost about two and a half times the amount lost by institutions. Overall, the results suggest a wealth transfer from individuals to institutions that is likely attributable to analysts' misleading behavior.