Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II
研究了MiFID II如何通过改变卖方分析师激励，降低股票收益与市场的同步性，提升价格信息含量，尤其对分析师和券商更重要的公司以及市场下跌时效果更显著。
MiFID II affects sell-side analyst incentives in Europe, forcing analysts to justify the value they add. While the number of analysts decreases, the average stock return synchronicity with the market also decreases, implying an improvement in price informativeness. The decrease in synchronicity is larger for firms that are more important for the analysts and brokers covering them. It is also asymmetric and substantially larger for negative market movements. Our results suggest that, by changing incentives, MiFID II not only improves the quality of individual analyst work, but also achieves an improvement in the aggregate stock price informativeness.