证券分析师盈利预测与市场盈利预期的实证研究

发布时间：2018-01-05 05:07

本文关键词：证券分析师盈利预测与市场盈利预期的实证研究　出处：《华东师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：证券分析师是市场中重要的信息中介,我国分析师行业发展时间较短,早期曾饱受诟病,经过多年的规范管理,逐渐走上了健康发展的道路,在这一背景下,本文选择从投资者角度对分析师的价值进行评价。具体地,本文对分析师主要工作之一的盈利预测进行实证研究,考察证券分析师盈利预测精确性和代理市场盈利预期的能力,以及预测精确性与代理市场预期能力之间是否具有一致性;进一步,本文还区分不同投资者类型对分析师预测进行评价。研究证券分析师盈利预测代理市场预期,通常的方法是将分析师预测与其他常见的预测进行比较分析,从而做出判断。除了分析师预测,投资者能够获取的预测信息主要包括时间序列模型预测和管理层预测。考虑到不同预测信息的影响范围及数据的可得性,本文选取时间序列模型预测作为参照。本文实证结果显示,首先,我国证券分析师盈利预测存在乐观倾向,在精确性上优于时间序列模型预测,印证了分析师预测存在信息优势的理论;其次,整体而言,我国证券分析师预测相比时间序列模型预测是更好的市场预期代理变量,从投资者角度肯定了证券分析师盈利预测的价值,也为资本成本等相关研究中选取分析师预测数据作为市场预期代理变量提供了实证基础;此外,进一步的检验还发现,证券分析师盈利预测的精确性与其代理市场预期的能力并不一致,即投资者选择预测信息时并非完全基于理性预期,投资者表现出的对分析师预测的认可可能受到媒体宣传、从众心理等因素影响;最后,实证结果还显示机构持股比例的提高对分析师预测代理市场预期存在一定的负向作用,机构相比个人投资者对分析师的依赖程度更低,这可能与机构自身具有强大的投研团队有关,同时我国证券市场散户化程度高、机构投资者交易行为散户化倾向等特征也可能对这一结果有影响。最后,结合实证结果与我国股票市场、证券分析师行业发展现状,本文对监管方、证券分析师以及投资者提出相关建议,以完善我国证券分析师行业,提高我国股票市场的有效性、规范性,以及更好的保护投资者的利益。
[Abstract]:Securities analyst is an important information intermediary in the market. The development of the analyst industry in China is relatively short and has been criticized in the early stage. After many years of standardized management, securities analyst has gradually embarked on the road of healthy development under this background. This paper chooses to evaluate the value of analysts from the perspective of investors. Specifically, this paper makes an empirical study on the earnings forecast, which is one of the main tasks of analysts. To investigate the accuracy of the forecast and the ability of the agency market to predict the profit, and whether there is consistency between the accuracy of the forecast and the ability of the agency market; Further, this paper also distinguishes the different types of investors to evaluate the analyst forecast. The usual method is to compare and analyze the analyst forecast with other common forecasts, so as to make the judgment. In addition to the analyst forecast. The prediction information that investors can obtain mainly includes time series model prediction and management prediction, considering the influence range of different prediction information and the availability of data. This paper selects the time series model as the reference. The empirical results show that, first of all, there is an optimistic trend in the forecast of China's securities analysts' earnings, which is more accurate than the time series model. It confirms the theory that analysts predict the existence of information superiority; Secondly, on the whole, compared with the time series model, China's securities analyst forecast is a better proxy variable of market expectation, which confirms the value of the securities analyst's profit forecast from the perspective of investors. It also provides the empirical basis for selecting the analyst forecast data as the market expectation proxy variable in the related research such as the cost of capital. In addition, the further test also found that the accuracy of the earnings forecast of securities analysts is not consistent with their ability to represent market expectations, that is, investors do not choose forecast information based entirely on rational expectations. Investors' recognition of analysts' forecasts may be affected by media publicity, crowd psychology and other factors; Finally, the empirical results also show that the increase of institutional shareholding ratio has a certain negative effect on the forecast of agency market expectations, and institutional investors are less dependent on analysts than individual investors. This may be related to the institution itself has a strong investment and research team, at the same time, the securities market in China has a high degree of retail, institutional investors trading behavior of retail tendency may also have an impact on this result. Finally. Combined with the empirical results and the current situation of China's stock market and securities analyst industry, this paper puts forward relevant suggestions to regulators, securities analysts and investors in order to improve the securities analyst industry in China. Improve the effectiveness of China's stock market, normative, and better protect the interests of investors.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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