The Effect of Analyst Attention on Pricing Efficiency in Capital Market: Based on Security Price Synchronicity

Abstract

This article used annual data of China’s A-share listed companies from 2010 to 2022 as the research sample and investigated the influence of analyst attention on the pricing efficiency (quantified by security price synchronicity) in capital market. The empirical results reveal that: (1) The volume of analyst reports serves as a proxy for the level of analyst attention, and it exhibits a significant inverse correlation with security price synchronicity. (2) Institutional investors exert a certain inhibitory effect on the process of analyst attention reducing security price synchronicity. As the proportion of institutional holding increases, the negative relationship between analyst attention and security price synchronicity becomes statistically insignificant. Following a series of robustness tests, the initial conclusions remain empirically valid.