分析师修正信息、基本面分析与未来股票收益

发布时间：2018-01-13 17:19

本文关键词：分析师修正信息、基本面分析与未来股票收益　出处：《金融研究》2017年07期 　论文类型：期刊论文

【摘要】：本文基于日历时间组合方法检验中国A股市场分析师修正信息的投资价值。研究发现,分析师发布的盈余预测修正和投资评级修正最具信息含量,投资者既未充分意识到两类修正的信息含量,也未充分意识到明星分析师和普通分析师能力的差别。根据分析师盈余预测修正和投资评级修正构建套利组合,能分别获得月均1.34%和0.92%的经三因子模型调整的超额收益。本文进一步指出,分析师修正信息的投资价值来源于其基本面分析的能力。分析师盈余预测修正和投资评级修正能够显著预测公司未来的盈利能力、标准化未预期盈余和盈余公告窗口期超额收益,并且套利组合的超额收益集中在盈余公告窗口期。本文的结论对于理解分析师在资本市场中发挥的作用、提高市场有效性具有重要意义。
[Abstract]:The calendar time combination test method China analyst A stock market correction information based on the investment value. The study found that analysts issued earnings forecast revision and investment rating modified most information content, investors not fully aware of the information content of two kinds of modified, are not fully aware of star analysts and ordinary analyst ability according to the modified difference. And the fixed investment rating construct arbitrage portfolio analyst earnings forecast, can obtain the monthly average of 1.34% and 0.92% respectively by the three factor model adjusted excess returns. This paper further points out that the ability of the investment value of the correction information to the analyst source of fundamental analysis. Analysts' earnings forecast revisions and investment rating can significantly modified Forecast Ltd future profitability. Standardized unexpected earnings and earnings announcement window of excess returns, and the arbitrage portfolio excess return set The conclusion of this paper is of great significance to understanding the role played by analysts in the capital market and improving the effectiveness of the market.

【作者单位】：北京大学光华管理学院;江苏汇鸿汇升投资管理有限公司;
【基金】：国家自然科学基金(71273013,71132004) 教育部人文社科研究项目(12YJA630186) 光华领导力研究院(#12-14)的资助
【分类号】：F832.51
【正文快照】： 一、引言证券分析师是投资者和上市公司之间传递和解释信息的桥梁(姜国华,2004)。投资者花费大量成本获取分析师研究报告,目的是希望能从中得到有价值的信息,从而做出明智的投资决策。大量以美国数据为基础的研究发现,虽然分析师存在明显的利益冲突(Mc Nichols and O'Brien,19

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