证券分析师荐股评级的投资价值与盈利预测精度研究

发布时间：2018-07-11 10:28

本文选题：明星分析师 + 荐股评级　；参考：《江西财经大学》2014年硕士论文

【摘要】：国内《新财富》杂志借鉴美国《机构投资者》杂志的做法,每年推出由机构投资者投票评选的中国内地资本市场“最佳分析师”。目前,该评选活动已经成为国内证券分析师行业中最具权威性的评选活动和卖方分析师行业一项重要的外部激励机制。在评选中获奖的分析师通常被称为“明星分析师”。随着评选活动影响力的日益扩大,“明星分析师”的观点对市场内数千亿机构投资者的资金流向产生了重大影响,与此同时该机制的有效性也受到了市场极大的关注与质疑。那么到底《新财富》每年评选出的最佳分析师相对于其他分析师而言是否具有过人之处?本文尝试从分析师所发布信息质量的角度进行研究,对比明星分析师与非明星分析师荐股评级的投资价值与盈利预测的精准度,从而来探讨该激励机制是否有效。在国外,已经有学者研究证实分析师的排名与其信息绩效呈现显著的正相关关系。那么,明星分析师的能力是否真的强过非明星分析师呢?对于这个问题,国外学者已经有了一定程度的探究。由于从前国内证券分析师荐股评级的相关数据十分有限,也并未形成相对成熟的专业化证券分析师团队,所以始终没有很好的开展此领域的探索。 2000年以来,国内证券市场不断完善并与国外接轨,并且职业化证券分析师队伍不断扩张,其影响力也随其产出的分析报告不断增加。文章参考了Womack (1996)、Barber(2009)的研究方法,搜集了A股市场来自147家金融机构超过170000余条分析师的推荐评级数据,以及《新财富》历届评选出的来自42家金融机构覆盖于31个行业领域的超过360位最佳分析师的数据为样本,通过事件研究、回归分析的方法进行深入的实证研究。本文研究发现明星分析师买入的荐股评级它们的投资价值都要显著的高于非明星分析师和总体样本的荐股评级投资价值,对于买入推荐评级的利用也存在一个卖出的最佳时机。研究同时表明,对于证券分析师所发布的推荐评级的信息可能存在提前泄露的现象,从实证的结果可以看出,如果超额收益率的出现主要是由于分析师评级信息提前泄露导致的,那么明星分析师信息泄露的情况相对于非明星分析师来说较为严重。由于样本的局限以及国内卖空机制的缺乏,本文简要的研究了一下不同类型分析师卖出评级的投资价值,研究结果显示,无论是在Capm模型还是在Fama-French模型下明星分析师卖出评级的投资价值都要显著的高于非明星分析师。仅凭荐股评级超额收益率这一点本文还不能推断出明星分析师的能力要显著强于非明星分析师,因为明星分析师超额收益率的出现也可以被解释为是由于分析师获得明星的头衔而受到市场盲目地追捧导致的而并非其本身的专业能力所创造的,所以本文继续从信息质量的另一个角度——盈利预测的精准度,来研究“明星分析师”的能力相对于“非明星分析师”是否具有过人之处。本文利用2005年-2012年分析师盈利预测的数据,将明星分析师与非明星分析师盈利预测的精度进行了对比分析。实证结果表明,明星分析师盈利预测的精准度也要显著的高于非明星分析师。总体而言《新财富》最佳分析师的信息发布质量要高于其他分析师,在一定程度上投资者可以更多的信赖于明星分析师所发布的信息。讨论上述问题不论是对投资者还是学术界均有益利。从学术界角度来看,通过盈利预测精度和荐股评级投资价值来论证“明星分析师”在市场预测的能力上相对于“非明星分析师”是否具有过人之处,可从另一视角为长期以来行为金融学和有效市场假说间的争辩增添新的证据。将分析师进行分类对比地看待证券分析师的荐股评级,利用Capm模型和Fama-french三因子模型计算超额收益并且比较每个年度明星分析师与非明星分析师盈利精度的高低,能够说相对系统的对证券分析师预测能力在类型差异上进行比对,具有一定的参考价值。而对投资者而言,全文之探索一定程度上能回答投资者对于《新财富》评选的疑问,帮助投资者更准确地利用分析师所发布的信息。
[Abstract]:The Chinese mainland capital market "best analyst", which is selected by institutional investors, has become one of the most authoritative external investors in the domestic securities analysts industry. Incentive mechanisms. The winning analysts in the selection are often called "star analysts". With the increasing influence of the election campaign, the view of "star analysts" has a significant impact on the flow of hundreds of billions of institutional investors in the market, while the effectiveness of the mechanism has also been greatly concerned and qualitative in the market. This article tries to study the quality of the information released by the analyst and compare the accuracy of the investment value and earnings forecast of the star analyst and non star analyst's recommendation rating. Whether the incentive mechanism is effective.
In foreign countries, some scholars have confirmed that the ranking of analysts has a significant positive correlation with their information performance. Then, is star analyst's ability really stronger than non star analysts? For this problem, foreign scholars have already made a certain degree of inquiry. It is very limited and has not formed a relatively mature professional securities analyst team, so it has not been well explored in this field.
Since 2000, the domestic securities market has been constantly improved and integrated with foreign countries, and the team of professional securities analysts has been expanding, and its influence also increases with its output analysis. The article refers to the research methods of Womack (1996), Barber (2009), and the collection of more than 170000 analysts from 147 financial institutions in the A stock market. The data of the recommended rating, as well as the data of more than 360 best analysts from 42 financial institutions in 31 sectors, selected by the new fortune, are studied in depth through the method of event research and regression analysis.
The study found that the recommendation rating of star analysts was significantly higher than the recommended rating investment value of the non star analysts and the overall sample. The best time for the use of the buy recommendation rating was also the best time to sell. If the rate of excess returns is mainly due to the early disclosure of analysts' rating information, the information disclosure of star analysts is more serious than that of non star analysts. The limitations of the sample and the lack of domestic short selling mechanisms are the result of the empirical results. This paper gives a brief study of the investment value of different types of analysts' selling ratings. The results show that the investment value of the sales rating of star analysts in both the Capm model and the Fama-French model is significantly higher than that of the non star analysts. Star analysts' abilities are significantly stronger than non star analysts, because the emergence of star analysts' excess returns can also be interpreted as being created by the market's blind pursuit of the star's title rather than the professional ability of its own, and this article continues from another angle of information quality. The accuracy of earnings forecasts to determine whether the ability of "star analysts" is superior to "non star analysts". This paper compares the accuracy of earnings forecasts between star analysts and non star analysts by using the data of analysts' earnings forecast in 2005 in -2012. The empirical results show that the star analysis is a star analysis. The accuracy of the earnings forecast is significantly higher than that of non star analysts. In general, the quality of "new fortune > best analysts" is higher than other analysts, and to a certain extent, investors can rely more on the information released by star analysts.
Discussing the above issues is beneficial to both the investor and the academic community. From the academic point of view, it is possible to demonstrate whether the "star analyst" has an advantage over the "non star analyst" in the market forecast ability through the accuracy of earnings forecast and the value of the recommendation rating investment. The debate between finance and the efficient market hypothesis adds new evidence. Analysts compare securities analysts' recommendation ratings, use the Capm model and the Fama-french three factor model to calculate excess returns and compare the earnings accuracy of each annual star analyst and non star analyst, which can be described as a relative system. It has a certain reference value to the comparison of the forecasting ability of securities analysts in the type difference. For the investors, the full text of the exploration can answer the question of the investor's evaluation of the new wealth to some extent and help the investors to make more accurate use of the information released by analysts.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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