中国证券分析师领先—跟随影响因素实证研究

发布时间：2018-05-31 00:11

本文选题：分析师 + 领先-跟随　；参考：《西南交通大学》2012年硕士论文

【摘要】：分析师通过收集、评估、分析公共和私人信息,为投资者提供盈余预测与投资建议,在改善市场效率中发挥着重要的信息中介作用。但普遍存在的分析师羊群行为使其预测与建议的客观性受到质疑,分析师作为信息中介的有效性变得异常复杂。谁是信息领先者是研究分析师羊群行为的基础问题,因为信息领先者不但对市场产生重要影响,对其他分析师预测也具引导作用。由于信息的时效性特征以及时间先后关系是构成信息内容上领导与从众关系的必要条件,由预测报告的先后发布时间而形成的领先-跟随关系受到学界的广泛重视,研究分析师领先—跟随行为对理解分析师信息效率和“羊群行为”进而加深对金融市场行为的理解具有重要的学术价值和应用价值。目前,关于分析师领先-跟随发布的实证研究尚较缺乏,但分析师预测发布时间决策的内生性疑问凸显了实证研究的重要性,一方面需要更多丰富的实证证据支持内生性观点,另一方面内生性也意味着不同的市场信息环境、竞争差异以及价值判断特征都将影响领先-跟随发布决策行为,使得立足于不同具体市场的实证分析成为认识特定市场的重要途径。特别是对于包括中国在内的新兴资本市场中,信息披露环境与成熟市场存在显著差异,而这种市场环境差异对于分析师领先-跟随行为的影响是西方学者所忽视的,因此基于中国市场的研究即可丰富该问题的实证证据,也是深入认识中国证券市场不可或缺的关键环节。基于此,本文利用中国A股分析师报告数据,实证考察分析师特性、所属机构和竞争环境对分析师预测发布领先-跟随行为的影响。结果表明分析师特性及所属机构对发布领先度具显著影响。在跟进股票具有更长研究经历、更高的历史领先度、具有更长一般研究经历以及所属机构年度发布报告数越多的分析师,其发布领先度更大；而具有明星荣誉、其它股票上更高历史领先度的分析师,其发布领先度更小；分析师跟进股票的数量具有对发布领先度的间接正向溢出效应影响。竞争环境对发布领先度也具显著影响。目标股票跟进分析师数越多,发布领先度越大;评级标准差代表的信息差异则同时具有对发布领先度负向风险效应和正向机会效应的影响。进一步分行业的回归结果表明,在不同行业下分析师领先发布行为的影响因素存在差异,因此,要在区分行业背景下正确认识分析师领先发布行为的影响因素。
[Abstract]:By collecting, evaluating, analyzing public and private information and providing investors with earnings forecasts and investment advice, analysts play an important information intermediary role in improving market efficiency. However, the objectivity of prediction and advice is questioned by the widespread herding behavior of analysts, and the effectiveness of analysts as an information intermediary becomes extremely complex. Who is the information leader is the fundamental question in studying the herding behavior of the analyst, because the information leader not only has an important influence on the market, but also guides the forecast of other analysts. As the timeliness of information and the relationship between time and order are the necessary conditions for the relationship between leadership and conformity in information content, the leader-follower relationship, which is formed by forecasting the time of release of reports successively, has received extensive attention in academic circles. The study of analyst leader-follower behavior is of great academic and practical value in understanding the information efficiency and herding behavior of analysts and thus deepening the understanding of financial market behavior. At present, there is still a lack of empirical research on analyst leader-follow-release, but the endogenous question of analyst's decision of forecasting release time highlights the importance of empirical research. On the one hand, more abundant empirical evidence is needed to support the endogenetic point of view. On the other hand, endogenicity also means that different market information environments, competitive differences and value judgment characteristics will affect leadership-following the decision making behavior, It makes empirical analysis based on different specific markets an important way to understand specific markets. Especially in emerging capital markets, including China, there is a significant difference between the information disclosure environment and the mature market, and the impact of this market environment difference on the leader-follower behavior is ignored by Western scholars. Therefore, the research based on the Chinese market can enrich the empirical evidence of this problem, and it is also an indispensable key link to deeply understand the Chinese securities market. Based on this, this paper makes use of the Chinese A-share analyst report data to empirically investigate the influence of analyst characteristics, institutions and competitive environment on the leader-follower behavior of analysts' forecast release. The results show that the characteristics of analysts and their agencies have a significant impact on the release lead. Analysts who have longer research experience, higher historical lead, longer general research experience and more annual reports from their agencies have greater lead in following stocks, and have celebrity honors. Analysts with a higher historical lead in other stocks had a smaller lead; the number of stocks followed had an indirect positive spillover effect on the lead. The competitive environment also has a significant impact on the release lead. The more analysts follow the target stocks, the bigger the release lead; the difference of information represented by the standard deviation of rating has both negative risk effect and positive opportunity effect. The regression results show that there are differences in the influencing factors of analysts' leading release behavior in different industries. Therefore, we should correctly understand the influencing factors of analysts' leading release behavior in the context of industry differentiation.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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