证券分析师盈余预测倾向经济后果的研究

发布时间：2018-04-10 02:12

本文选题：证券分析师　切入点：稳健性　出处：《西南财经大学》2014年博士论文

【摘要】：在我国,证券分析师是一个新兴职业,其主要职责是收集和分析上市公司信息,对上市公司的盈利和投投资价值进行预测和判断,以满足投资者对上市公司价值相关信息的需求。可是,由于信息不对称、证券分析师面临利益冲突等因素的影响,市场存在各种摩擦,使得证券分析师与投资者之间的目标并不一致,导致证券分析师发布的盈余预测报告存在系统性的乐观倾向,从而在一定程度上误导了投资者,扭曲了市场价格。从2001年起,国内券商研究所掀起了以国际领先投资银行和经纪券商分析师报告为标准、以基本分析为主导的分析师行业转型的浪潮,国内券商的研究所从成本中心向利润中心转型,服务模式也开始从对内服务转向为对投资者服务的模式,盈利模式也确立为“研究换分仓佣金”的模式,这些变化更是加剧了证券分析师独立性丧失的情况。最终在近年连续爆出多起负面新闻,证券分析师行业的道德也受到广泛质疑。尽管证券分析师盈余预测存在普遍的乐观倾向,但是证券分析师盈余预测的准确性仍然高于时间序列统计模型的预测,这就启发本文从市场机制的角度重新审视证券分析师行业。证券分析师固然面对巨大的利益冲突,但证券分析师同样受到市场的正面激励,如良好声誉带来的个人收益的提高。正是这两种不同方向的力量同时作用于证券分析师,使得一部分证券分析师的盈余预测具有稳健的倾向,而另一部分证券分析师的盈余预测具有过度乐观的倾向。而具有稳健倾向的证券分析师,构成了证券分析师行业的自律机制,保证了证券分析师信息中介功能和治理功能的发挥。基于这些背景,本文将对具有稳健倾向的证券分析师及其经济后果展开研究。具体来说,本文首先研究如何定义证券分析师盈余预测的稳健倾向；接着,本文研究具有稳健倾向的证券分析师的动机；然后,就具有稳健倾向的证券分析师在中介作用上的表现进行研究,将从稳健倾向证券分析师盈余预测修正的市场反应、盈余预测准确性以及盈余预测准确性差异的原因等角度展开论述；最后,本文研究具有稳健倾向的证券分析师的治理功能,检验具有稳健倾向的证券分析师是否具有外部治理作用。本文综合运用规范分析和实证分析的方法,就证券分析师盈余预测倾向的划分方法及其动机、稳健倾向对证券分析师中介功能和治理功能的影响进行了研究,其中,实证分析方法除了使用最小二乘法,还结合使用了Logit回归、Probit回归以及为减小内生性问题影响而使用的两阶段最小二乘法。本文在内容结构上共分为七大部分：第一部分,导论。该部分主要介绍本研究的研究背景、研究目的、研究的理论意义和现实意义、研究使用的方法；然后,利用研究思路图和论文的结构安排,就本研究的基本思路进行介绍；最后,对本研究可能产生的创新进行介绍。第二部分,文献综述。首先,是有关证券分析师资本市场中介作用的文献回顾,包括证券分析师盈余预测准确性、盈余预测的信息含量、证券分析师特征、证券分析师跟踪的效果等。其次,是有关证券分析师乐观倾向及其成因方面的文献回顾。接着,是有关证券分析师治理作用方面的文献回顾。最后,是文献评述,在总结本部分回顾的已有研究的特点的基础上,分析及提出了证券分析师相关领域存在的研究机会。第三部分,行业背景与理论分析。该部分首先就证券分析师的分类和证券分析师的工作内容进行了介绍。然后,该部分着眼于构建证券分析师盈余预测倾向的理论研究框架：从证券分析师不同盈余预测倾向的形成机理展开论述,通过代理理论和声誉理论,分析了不同证券分析师预测倾向的成因；然后从证券分析师的中介功能的角度,结合有效市场假说、市场微观结构理论和治理理论,论述证券分析师盈余预测倾向对证券分析师中介作用的影响；最后,从证券分析师的治理功能的角度,通过分析证券分析师在缓解逆向选择问题和道德风险问题上的作用,论述证券分析师盈余预测倾向对其治理作用的影响。第四部分,证券分析师盈余预测倾向的界定。该部分是全文实证分析的基础。该部分首先就如何界定证券分析师盈余预测的稳健倾向,进行了分析,将具有盈余预测稳健倾向的证券分析师定义为：面对不利消息做出的反应比面对有利消息时做出的反应更强烈的证券分析师。通过使用Hugon和Muslu(2010)的模型,本研究可以通过使用客观经验数据,用数量分析的方法对证券分析师的盈余预测倾向进行区分。接着,该部分就稳健倾向证券分析师的动机进行了研究,发现稳健倾向的证券分析师更有可能供职于优质的证券公司,从而有利于稳健倾向的证券分析师获得更好的职业发展和更高的未来报酬,因此,本研究将具有稳健倾向的证券分析师的动机,归结为追求最大化个人利益。第五部分,证券分析师盈余预测中介功能的分析。该部分研究盈余预测倾向对证券分析师中介作用的影响。首先,该部分就资本市场对证券分析师盈余预测倾向的识别进行研究,发现资本市场对稳健倾向的证券分析师做出的盈余预测修正的反应更为强烈。其次,该部分就稳健倾向证券分析师盈余预测的准确性进行了研究,发现稳健倾向证券分析师发布的盈余预测具有更高的准确性。然后,本文就稳健倾向证券分析师盈余预测准确性进行了分析,通过研究上市公司企业社会责任信息与稳健证券分析师盈余预测准确性之间的关系,发现稳健倾向证券师盈余预测的提高,是因为其信息渠道的拓宽,从而获得了一定程度的信息优势。最后,该部分还就稳健证券分析师传递增量信息的能力进行研究,发现稳健倾向证券分析师的跟踪,有助于市场将企业社会责任信息——这一非财务信息包含在公司的价值中。第六部分,证券分析师盈余预测治理功能的分析。该部分研究盈余预测倾向对证券分析师治理作用的影响。该部分首先发现,稳健倾向的证券分析师的跟踪将有助于提高公司的价值。接着,该部分就稳健倾向证券分析师的跟踪是如何对公司价值起到促进作用的内部机理进行了研究,研究从稳健倾向证券分析师能否抑制公司管理层过度投资冲动的角度进行,发现稳健倾向的证券分析师的跟踪对公司管理层形成了压力,迫使其放弃净现值为负的投资项目,从而支持了稳健倾向证券分析师具有治理作用的观点。第七部分,研究结论与研究展望。该部分首先总结本研究在之前章节取得的研究成果,接着分析本研究存在的不足之处,最后提出本研究进一步研究的方向。本文的主要研究结论为： (1)在对证券分析师盈余预测倾向进行界定之后,本文对证券分析师稳健倾向的动机进行了分析。研究结果表明,稳健证券分析师的动机是出于最大化个人利益的考虑。相比过于乐观的证券分析师,稳健倾向的证券分析师更可能就职于优质券商,从而获得更好的职业发展机会,在长期来看,能够获得更稳定、更丰厚的报酬。 (2)在中介功能方面,具有稳健倾向的证券分析师出于维护自身声誉的考虑,会对“坏消息”做出更强烈的反应,从而避免发布过于乐观的盈余预测。在证券分析师盈余预测普遍乐观的背景下,就使得稳健倾向的证券分析师的盈余预测更客观、更接近实际情况,因此,稳健倾向证券分析师做出的盈余预测调整会引起更大的市场反应,盈余预测也更为准确,能向市场传递更为有效的信息。此外,稳健倾向的证券分析师也更注重对非财务信息的使用,他们会更多关注和分析目标上市公司披露的企业社会责任信息,从中挖掘价值相关信息,有助于缓解企业社会责任信息的供需矛盾,增加资本市场对社会责任信息的认可。 (3)在治理功能方面,本文发现,证券分析师对目标上市公司的跟踪关注,可以起到一定的外部监督和治理作用,表现为证券分析师对上市公司的过度投资具有约束力。而稳健倾向的证券分析师能够在当中起到更积极的作用,凭借其良好的个人声誉,对上市公司的过度投资行为进行更有力的约束。本文的创新点体现在如下几个方面：首先,在研究的内容上,本文构建了研究证券分析师盈余预测倾向经济后果的理论分析框架。这一理论框架从证券分析师盈余预测具有不同倾向的原因作为逻辑起点,通过代理问题分析了证券分析师的盈余预测乐观倾向；声誉理论分析了证券分析师盈余预测的稳健倾向的动机。然后,通过市场微观结构理论和市场有效假说,对不同倾向的证券分析师所能发挥的中介功能进行了论述；最后,通过分析不同倾向证券分析师在缓解逆向选择和道德风险两种代理问题上的治理功能进行了分析。其次,在研究角度上,本文着重分析了证券分析师的稳健倾向。不同于国内研究把重心都放在证券分析师乐观倾向和证券分析师利益冲突上,本文是对证券分析师的稳健倾向进行了深入分析：先建立证券分析师盈余预测倾向的分类标准,再对证券分析师不同盈余预测倾向的成因及其经济后果进行研究。因此,本文为构建完整的证券分析师研究框架提供了新的思路,本文所采用的分类标准实为抛砖引玉,希望能引起更多学者对证券分析师行业进行更细致的划分,以弥补现有研究框架的局限。第三,在研究的具体操作层面上,本文对证券分析师信息来源进行了拓展。不同于已有研究更多地将证券分析师使用的信息局限在财务信息的做法,本文利用企业社会责任信息——这一非财务信息,对证券分析师的中介作用的发挥进行了探讨。非财务信息和财务信息都是上市公司信息披露的组成部分,因此,包括证券分析师在内的信息中介、投资者等,都应给予足够的关注,本文有关证券分析师如何使用非财务信息的研究,除了丰富证券分析师的相关研究之外,对上市公司非财务信息披露的实践也具有一定的参考价值。
[Abstract]:In China , the securities analyst is a new profession , its main function is to collect and analyze the information of the listed company , forecast and judge the earnings and investment value of the listed company , so as to satisfy the investor ' s demand for the value - related information of the listed company .

The accuracy of earnings forecast of securities analysts is still higher than that of the time series statistical model , although the earnings forecast of securities analysts is still higher than that of the time series statistical model .

Based on these background , this paper studies the security analysts and their economic consequences . In particular , this paper first studies how to define the robust tendency of earnings forecasts of securities analysts .
Secondly , this paper deals with the motivation of securities analysts with robust tendency .
Then , the paper studies the performance of the securities analyst with the sound tendency in the intermediary function , and discusses the reasons of the market reaction , the surplus forecast accuracy and the difference of the surplus forecast accuracy from the surplus forecast of the steady - tendency securities analyst .
Finally , this paper studies the governance function of securities analysts with robust tendency , and checks whether the securities analysts with a sound tendency have external governance .

By using the method of normative analysis and empirical analysis , this paper studies the influence of the method of dividing the earnings forecast tendency of securities analysts and its motives and robustness on the intermediary function and governance function of securities analysts . The empirical analysis method combines the Logit regression , the Probit regression and the two - stage least square method used to reduce the impact of the intrinsic problem in addition to the least square method .

This paper is divided into seven parts on the content structure :

Part one , Introduction . This part mainly introduces the research background , research aim , theoretical significance and practical significance of the research , and the methods used in the study .
Then , using the research thinking map and the structure arrangement of the paper , the basic idea of this study is introduced ;
Finally , an introduction is made of the possible innovations in this study .

In the second part , the paper reviews the literature review on the intermediary role of the securities analyst ' s capital market , including the earnings forecast accuracy of the securities analyst , the information content of the earnings forecast , the characteristics of the securities analyst , the tracking effect of the securities analyst , etc . Secondly , it is the literature review on the securities analyst ' s optimistic tendency and its genesis . Finally , it is a review of the literature . On the basis of summarizing the characteristics of the existing research reviewed in this part , the paper analyzes and puts forward the research opportunities in the relevant field of securities analysts .

The third part , the background and the theoretical analysis of the industry . This part firstly introduces the classification of the securities analyst and the work content of the securities analyst . Then , this part looks at the theoretical research framework of the earnings forecast tendency of the securities analyst : from the analysis of the formation mechanism of the different earnings forecast tendency of the securities analyst , this part analyzes the causes of the forecasting tendency of different securities analysts through the theory of agency theory and reputation .
Then from the intermediary function of the securities analyst , combining the effective market hypothesis , the market microstructure theory and the governance theory , the paper discusses the influence of the earnings forecast tendency of the securities analyst on the intermediary function of the securities analyst ;
Finally , through analyzing the role of securities analysts in mitigating adverse selection and moral hazard from the perspective of the governance function of securities analysts , the paper discusses the influence of earnings forecast tendency on the governance of securities analysts .

The fourth part is the definition of earnings forecast tendency of securities analysts . The part is the basis of the empirical analysis of the whole text . The part firstly defines how to define the prudent tendency of the earnings forecast of the securities analyst . By using the model of Hugon and Muslu ( 2010 ) , this study can be used to distinguish the earnings forecast tendency of the securities analysts by using objective empirical data .

In the fifth part , the analysis of the securities analyst ' s surplus forecast intermediation function . The part studies the influence of surplus forecast tendency on the securities analyst ' s intermediary role . First , this part studies the earnings forecast accuracy of the securities analyst based on the capital market , and finds that the earnings forecast of the steady - tendency stock analyst is more accurate . Secondly , this part studies the earnings forecast accuracy of the steady - tendency stock analyst . Finally , this part researches on the ability of the robust securities analyst to transfer incremental information , and finds that the tracking of the steady - tendency stock analyst is helpful to the market to include the information of corporate social responsibility _ this non - financial information in the value of the company .

In the sixth part , the analysis of the earnings forecast governance function of the securities analyst . The part studies the influence of earnings forecast tendency on the governance of the securities analyst . The part firstly finds out that the tracking of the prudent securities analyst will help to improve the company ' s value .

The seventh part , the research conclusion and the research prospect . This part firstly summarizes the research results obtained in previous chapters , then analyzes the shortcomings of this study , and finally puts forward the direction of further research in this study .

The main conclusions of this paper are as follows :

( 1 ) After the definition of the earnings forecast tendency of securities analysts , this paper analyzes the motivation of the stability tendency of the securities analysts . The results show that the motivation of the stable securities analyst is to maximize the personal interests . Compared with the overly optimistic securities analysts , the prudent securities analysts are more likely to take office in the high - quality securities firms , thus obtaining better career development opportunities . In the long term , more stable and generous compensation can be obtained .

( 2 ) In the context of intermediary function , a securities analyst with a sound tendency can react more strongly to " bad news " for the sake of maintaining its own reputation , so that the surplus forecast of the securities analyst who is prudent tends to be more objective and close to the actual situation . In addition , the securities analysts who have a sound tendency will pay more attention to the use of non - financial information , and they will pay more attention to and analyze the corporate social responsibility information disclosed by the target listed companies , which can help to alleviate the supply and demand contradiction of the information of corporate social responsibility and increase the recognition of the information of the capital market for social responsibility information .

( 3 ) In terms of governance function , this paper finds that the stock analysts ' follow - up to the target listed companies can play a role in external supervision and governance , which is binding on the overinvestment of listed companies by securities analysts .

The innovation points of this paper are embodied in the following aspects :

First , on the content of the research , this paper constructs a theoretical analysis framework to study the economic consequences of earnings forecast of securities analysts . This theoretical framework analyzes the earnings forecast optimistic tendency of securities analysts by analyzing the reason of surplus forecasting of securities analysts as the starting point of logic .
Based on the theory of market microstructure and market hypothesis , the paper discusses the mediating function that the securities analysts can exert .
Finally , the paper analyzes the governance function of the two agents in mitigating adverse selection and moral hazard by analyzing different tendency stock analysts .

Secondly , in the angle of research , this paper focuses on the analysis of the securities analyst ' s robust tendency . In contrast to the domestic research , the paper focuses on the securities analyst ' s optimistic tendency and the stock analyst ' s interest conflict . This paper makes an in - depth analysis on the stability tendency of the securities analyst : firstly , establishing the classification standard of the earnings forecast tendency of the securities analyst , and then carrying out the research on the causes and the economic consequences of the different earnings forecast tendency of the securities analyst .

Third , on the concrete operational level of the research , this paper has expanded the information source of securities analysts . Unlike existing research , this paper discusses the intermediary role of securities analysts . Non - financial information and financial information are part of the information disclosure of listed companies . Therefore , information intermediaries , investors , etc . including securities analysts should pay enough attention . In addition to the relevant research of securities analysts , the practice of non - financial disclosure of listed companies has certain reference value .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F830.42

【参考文献】