我国股票市场存在着证券分析师在正式发布研究报告之前将信息提前透露给机构投资者的"行业潜规则",本文借鉴并修正Christophe,Ferris和Hsieh(2010)的事件研究法,以证券分析师上调公司评级事件为研究对象,研究发现证券分析师发布研究报告前市场确实存在显著的知情交易。在此基础上,本文进一步研究这一"行业潜规则"的存在对中小投资者的影响,结果表明尽管投资者根据研究报告进行交易仍可获得一定的超额收益,但仅仅只能覆盖交易成本。论文的最后对如何加强证券研究利益冲突行为的监管、杜绝"行业潜规则"和如何保护中小投资者利益进行了探讨。 There exists the "Potential role" of information-leakage prior to the release of analyst' reports in the stock market. By the method of Christophe, Ferris and Hsieh(2010), the authors find that the behavior of informed trading exactly exists. The paper further researches the effect of this "Potential rule" on small investors. Results show that although the investor can get abnormal returns by following the analyst' reports, the return can only cover the transaction cost. Finally, it disscuses how to enhance the supervision of security research conflict and protect the interest of small investors. ; 国家自然科学基金项目“金融部门的利益冲突、自我膨胀及其对实体经济的影响:理论与实证”(项目批准号:71103150)的资助