中文摘要：

使用高频数据和交易规模设置区分大户投资者和散户投资者,研究了不同类型投资者对分析师研究报告信息的微观反应。发现这两种类型的投资者对分析师研究报告中包含的信息反应存在较大差异。第一,两种类型投资者的交易量反应虽然都受到公司规模的影响,但散户投资者受到的影响要显著低于大户投资者。第二,大户投资者比散户投资者更依赖分析师的前期业绩作出投资决策。大户投资者对较低可信度的分析师评级调高信息显示出更加老练的实战经验。散户投资者显示出对分析师评级和盈余预测调整幅度的较高信任,调整幅度绝对值越大,其超额成交量的反应也就越高。

英文摘要：

The high frequency data and transaction size threshold is set up to distinguish between institutional investors and small investors. Micro-reaction of different types of investors to the research report information is studied. There are large differences between the two types of investors＇ reaction to the information contained in analysts＇ reports. First, although investors＇ trading volume of two groups of is affected by the size, small investors are significantly less affected than institutional investors. Second, institutional investors are more dependent on making investment decisions based on the prior performance than small investors. Institutional investors are more sophisticated to deal with the analysts＇ upper rating change with lower credibility. Small investors show high confidence in the ratings and earnings forecast adjustment range. The bigger the absolute value of adjustment magnitude, the higher the excess volume of reaction.