证券分析师过度自信问题研究

发布时间：2018-01-12 04:33

本文关键词：证券分析师过度自信问题研究　出处：《浙江大学》2012年硕士论文　论文类型：学位论文

【摘要】：证券分析师一直以来被认为是资本市场中的信息中介,担当着投资者与上市公司之间信息沟通的桥梁。他们综合宏观经济运行状况、行业发展趋势,以及企业的经营状况和发展潜力,对企业未来的盈利状况进行预测。他们的研究报告是投资者进行投资决策的重要依据。但是,学术界逐渐发现,证券分析师在进行盈余预测时并不完全“中性”,来自分析师所在券商、被分析公司管理层和分析师自身的各种因素都会影响分析师行为,进而扭曲分析师作出的盈余预测。过度自信认知偏差是证券分析师行为扭曲的原因之一。本文以2001-2010年间美国证券市场中分析师盈利预测的季度数据为研究对象,通过理清认知偏差对分析师预测行为的动态影响机制,对证券分析师过度自信问题做了实证研究。本文探讨的两个主要问题是：第一,证券分析师在对上市公司进行盈余预测时,是否存在过度自信心理偏差?第二,如果存在的话,什么因素可能会对分析师过度自信的程度产生影响? 在Hilary和Menzly(2006)模型的基础上,本文首先对证券分析师过度自信认知偏差的存在性进行检验。结果表明,分析师在经历一系列成功预测后,在接下来的预测中,虽然其预测偏离市场共识的程度没有明显增加,但预测的实际误差显著增大。过度自信理论在一定程度上得到了实证的支持。其次,从金融危机的视角,本文进一步探究宏观的信息、决策环境对分析师过度自信认知偏差的影响。结果表明,在金融危机的冲击下,分析师过去的成功预测经历与其当前预测中实际误差之间的关联度显著增强。在经历一系列成功预测后,分析师过度自信的认知偏差依然存在,且程度较危机前进一步加重。最后,考虑到证券分析师过度自信的认知偏差可能受其预测行为连续性的影响,同时为了保证实证结果的可靠性,本文对上述研究结果做了稳健性检验。检验结果证实了之前的发现。
[Abstract]:Securities analysts have been regarded as information intermediaries in the capital market , acting as a bridge between investors and listed companies . Their research report is an important basis for investors to make investment decisions . Based on the quarterly data of analyst ' s earnings forecast in the US security market from 2001 to 2010 , this paper studies the dynamic influence mechanism of the analyst ' s forecast behavior in the US stock market in 2001 - 2010 . The two main problems are as follows : First , when the securities analyst estimates the earnings forecast of the listed company , there is a psychological deviation of overconfidence ? Secondly , if any , what factors may affect the degree of overconfidence of the analyst ? On the basis of Hilary and Menzly ( 2006 ) models , this paper first examines the existence of excessive self - confidence cognitive biases in securities analysts . The results show that , after a series of successful predictions , analysts have seen a significant increase in the forecast deviation from the market consensus , but the actual error of the prediction is significantly increased . The overconfidence theory has been supported to some extent . Secondly , from the perspective of financial crisis , this paper further explores the impact of macro - information and decision - making environment on analysts ' overconfidence . The results show that , under the impact of the financial crisis , the correlation between analysts ' past success forecast experiences and actual errors in the current forecast is significantly enhanced . After a series of successful predictions , the cognitive bias of analysts ' overconfidence still exists , and the degree is further aggravated before the crisis . Finally , taking into consideration that the perceived deviation of the overconfidence of the securities analyst is likely to be influenced by the continuity of the predicted behavior , and in order to ensure the reliability of the empirical results , this paper makes a steady test on the above research results . The results of the test confirm the previous findings .

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F837.12;F224

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