This study explores how institutional and individual investors respond to analyst recommendations. Using a unique account-level trading dataset taken from the Shanghai Stock Exchange, we obtain direct evidence to show that (1) active institutional investors are significantly net buyers (net sellers) on “strong buy” and “buy” (“hold” and “sell”) recommendations; (2) active institutional investors condition their trades based on the buy-side pressure of analysts; (3) institutional investors earn abnormal returns by incorporating analysts’ buy-side pressure into their trading reactions to analyst recommendations; and (4) individual investors, in contrast, exhibit abnormal trade reactions opposite to those of active institutional investors. Our results are robust to alternative measures and different specifications. This study provides evidence that active institutional investors are more sophisticated processors of information and provides support for regulators’ concerns about the sub-optimal investment decisions made by individual investors who are unaware of the potential conflicts of interest analysts may face.

这项研究探讨了机构投资者和个人投资者如何回应分析师的建议。使用从上海证券交易所获得的独特的账户级交易数据集，我们获得了直接的证据表明：（1）活跃的机构投资者是“强买”和“买入”（“持有”）的净买家（净卖家）。 “出售”）建议；（2）活跃的机构投资者根据分析师的买入压力调节交易；（3）机构投资者通过将分析师的买方向压力纳入他们对分析师建议的交易反应中来获得超额收益；（4）相反，个人投资者表现出与活跃机构投资者相反的异常贸易反应。我们的结果对于替代措施和不同规范具有鲁棒性。