分析师私人信息对盈余预测准确度的影响

发布时间：2018-01-16 06:11

本文关键词：分析师私人信息对盈余预测准确度的影响　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：证券分析师普遍被认为是管理层与市场信息交流的纽带,亦被认为是市场上经验丰富投资者的代表,具有较强的信息解读能力。我国证券行业自90年代起,整体发展时间较短,1996年国内部分证券公司开始构建自身研究机构,专门从事上市公司及行业方面的研究,逐渐形成了基本面的研究体系,对证券公司经纪、投行等其他业务进行支持。分析师在盈利预测、对股价走势的判断上一直对市场起着指导性的作用。作为信息交流桥梁,我国分析师行业随着2007年牛市高速发展,证券研究所规模、从业人员人数亦不断增加。由于具有信息优势,分析师所发布的盈余预测一直被认为具有市场可信度,是多数投资者投资股票的标杆。而分析师所拥有的私人信息是否能够为其带来更高的预测精准度,是国内外学者一直关注的焦点所在。本文在借鉴国外成熟市场及新兴市场相关专家学者研究成果,引入“私人信息依赖度”这一指标考量分析师对私人信息的依赖程度。笔者在借鉴过程中,考虑到我国证券市场信息披露上的特殊性和数据的可获得性,引入了部分控制变量,并通过VBA函数计算实现了对一致预期的测算,通过数量分析法探究影响力较强的分析师一致预期是否显著优于市场一致预期。同时选取了我国A股市场2009-2012年的分析师盈余预测及其误差数据进行了实证分析,试图考量私人信息依赖度对于分析师盈余预测偏误之间的关系。实证研究发现：一、我国分析师盈余预测普遍存在高估现象,同时,相比于市场整体预期,“新财富”等卖方分析师评选出来的具有明星的分析师在盈余预测中并未有显著的优越性；二、整体来看,我国分析师所拥有的私人信息对并不能显著提升其盈余预测的准确性,相反会增大盈余预测误差。但细分来看,在分析师预测值高估时,私人信息会增大分析师的盈余误差；而在分析师预测值低估时,私人信息显著的有助于减少分析师的盈余误差。说明私人信息在避免高估,回归理性预期值中具有比较明显的作用；三、私人信息并不能显著带来市场行情的变化。
[Abstract]:Securities analysts are generally considered to be the link between management and market information exchange, but also considered as the representative of experienced investors in the market, with a strong ability to interpret information. China's securities industry since 90s. In 1996, some domestic securities companies began to build their own research institutions, specializing in listed companies and industries, gradually formed a fundamental research system. Support securities brokerage, investment banking and other business. Analysts have been playing a guiding role in earnings forecasts and stock price trends. As a bridge of information. With the rapid development of the bull market in 2007, the scale of the securities research institute and the number of employees are also increasing. Analysts' earnings forecasts have long been regarded as market credible and a benchmark for most investors to invest in stocks, and whether the private information they have can give them greater accuracy. Domestic and foreign scholars have been the focus of attention. This paper draws lessons from foreign mature markets and emerging markets related to the results of experts and scholars. In the process of reference, the author takes into account the particularity of information disclosure and the availability of data in China's securities market. Part of the control variables are introduced, and the calculation of the consistent expectation is realized by the calculation of the VBA function. This paper explores whether the influential analysts' consensus expectation is significantly better than the market's consensus expectation through quantitative analysis. At the same time, it selects the forecast of analysts' earnings and its error data from 2009-2012 in China's A-share market. The empirical analysis is carried out. This paper tries to consider the relationship between the dependence of private information on the bias of analysts' earnings forecast. The empirical study finds that: first, analysts' earnings forecasts in China are generally overvalued, while compared with the overall market expectations. "New Fortune" and other seller analysts selected by the star analysts in the earnings forecast did not have a significant advantage; Second, on the whole, the private information pair of Chinese analysts can not significantly improve the accuracy of earnings forecast, on the contrary, it will increase the error of earnings forecast. But in detail, when the analyst forecast value is overestimated. Private information increases analysts' earnings errors; When the forecast value of the analyst is underestimated, the private information can significantly reduce the earnings error of the analyst, which means that the private information can avoid overestimation and return to the rational expectation value. Third, private information can not bring significant changes in the market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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