中国证券分析师荐股评级的实证分析

  本文关键词：中国证券分析师荐股评级的实证分析，，由笔耕文化传播整理发布。

        随着1990年12月上海证券交易所和1991年6月的深圳证券交易所的正式开市运营,中国的证券市场开始正式步入发展的轨道。随着中国证券市场的发展,上市公司越来越多,而人们对证券市场的认识也逐渐加深,因此证券市场的参与者也日益增加,然而面对着日益复杂的交易,普通的投资者很难对证券投资进行全面的分析了解,此时证券分析师作为信息中介就被寄予重大的期望。证券分析师在资本市场中扮演着重要角色,他们作为证券市场的信息中介,衔接着上市公司和投资者,通过对上市公司进行详尽的调查,分析其中潜在的经济和投资价值,并为投资者提供投资建议,对降低信息不对称起着非常关键的作用。他们在通过对上市公司进行全面的了解和分析后,做出相应的投资评级,比如“买入”、“中性”以及“卖出”等,那么投资者依据分析师的荐股评级而进行证券投资操作,是否能给投资者带来超额收益呢?证券分析师在进行评级时注重上市公司的哪些特点,是挖掘公司的长期投资价值还是捕捉市场的短期热点?他们的荐股评级对投资者是否有参考价值?本文在对这些问题的思考下,将证券分析师的荐股评级行为作为研究对象,将他们发布的股票推荐评级数据作为研究衡量的指标,分为不同的市场形态即牛市、熊市以及盘整期下对不同的荐股评级进行研究分析,比较证券分析师的推荐评级会不会产生显著的不同。本文采用事件研究法,并通过比较试图去发现在不同的市场态势下,证券分析师股票荐股行为的差异与相同点。这种推荐评级差异的存在,表明宏观资本市场不同态势对分析师的行为存在影响,荐股评级相同点的存在,说明证券分析师在荐股评级时有一定的标准和偏好,通过这些研究,有利于投资者更好得利用证券分析师的投资报告,更加准确得来掌握投资信息,来获得更高的收益。本文的研究思路和主要结论如下：第一部分是绪论,首先介绍了本文的研究背景、本文要研究的题目与意义。本文是在证券市场逐步发展,证券投资者逐渐增多的背景下,较多投资者在面对众多的交易产品和日益复杂的交易程序下,会借鉴证券分析师的投资报告进行投资。而作为证券市场的信息中介的证券分析师在对上市公司进行全面的分析调查后,提供的投资建议是否有效,则对投资者有很大的影响。因此引发了对证券分析师荐股行为的研究。接着介绍了本文存在的可能创新与不足。创新点主要在于分为不同的市场形态进行比较分析,同时采用较长时段内的全部评级,不足主要是未将交易佣金考虑在内,对数据的处理不够细致,也是笔者以后值得改进的地方。第二部分是对证券分析师行业的概述。分为三个小结对证券分析师行业进行简单介绍,第一小节介绍了证券分析师的定义和分类,按照其受雇的机构属性不同,代表不同的利益群体这个分类标准将分析师分为买方分析师、卖方分析师和独立分析师三种,而本文主要研究的是卖方的证券分析师,是受雇于证券公司的,向众多投资者提供投资建议的分析师。第二小节介绍了分析师行业的发展历史,证券分析师是随着中国的资本市场的发展而逐渐规范,在发展前期大多数都是一些股评人士在指导投资,同时也存在一些黑嘴或者庄托的现象,随着相关部门的监管,证券分析师行业逐渐规范,对分析师的要求也逐渐提高,同时也逐渐得到投资者的肯定。第三小节介绍了证券分析师的职能,主要是搜集各种信息,并进行分析处理,最后向投资者提供投资建议。第三部分是文献综述。通过研读国外和国内的文献,将其按照对证券分析师的荐股评级行为的有效性的区别进行综述,在分析和总结前面学者的研究下,选择了本文的研究角度是基于普通投资者,并采用事件研究法来对不同市场形态下的评级行为进行研究,以期望得出对投资者有用的研究结果。第四部分是本文研究的理论基础介绍,主要介绍了有效市场理论和信息经济学。第五部分是本文的重点——实证研究。这部分分为三个小节进行分析,第一小节先介绍了本文的数据选择是证券分析师发布的全部A股的推荐评级,并将评级进行归类处理,分为买入、卖出和中性三种类型,并将其分为牛市、熊市和盘整期三种不同市场形态的评级,采取的股票价格为向前复权后的股票价格。第二小节介绍了本文采用事件研究法的研究步骤,研究的事件和选取的事件窗口等。在对相关的数据进行处理后,采用市场模型计算正常收益率,利用stata软件编程运行得出不同市场形态下,各个时间窗口的平均累计超额收益率,并对得出的结果先分为牛市、熊市和盘整期下的不同评级进行研究,分析在不同的市场行情下,证券分析师发布的荐股评级的不同参考价值。在牛市行情中,买入的评级具有较高的参考价值；在熊市行情中,卖出评级具有较高的参考价值；在盘整行情中,卖出评级具有相对高的参考价值。接着将同一类评级放在一起分析不同市场行情下给出的荐股评级的相同点和差异之处。第六部分是本文的结论与建议。本文通过对实证结果的分析,得出证券分析师的荐股行为具有一定的特征。第一,证券分析师发布的荐股评级的准确性会受到市场行情的影响。第二,证券分析师普遍存在一种乐观的心态,其倾向推荐买入评级。第三,证券分析师给出的中性评级所推荐的股票有些可以作为卖出组合的选择之一,因为发布的中性评级的走势与卖出评级的比较相似,甚至有时下跌幅度比卖出评级的大。第四,证券分析师在给出不同评级时会考虑评级前股票的一个走势,即说明中国的证券分析师是信息驱动型的,喜欢关注市场热点和关注明星股。第五,通过比较分析证券分析师给出的三种不同评级得出的数据,发现在不同的证券市场形态下,卖出评级的参考意义相对较大。基于本文的研究分析结果,提出对投资者的建议是证券分析师发布的投资建议会因不同的市场行情而又所不同,但总的来说卖出建议最有借鉴价值,按照其进行操作确实可以规避一定的风险,投资者在借鉴证券分析师的投资报告时,要结合整个宏观经济来分析。总之,投资者可以在合理分析证券分析师的荐股评级下,充分利用证券分析师搜集处理的信息,来获取超额收益。本论文的可能创新如下：1.内容上的创新：本文对证券分析师的推荐评级的研究是以不同市场形态下进行,分为三个不同形态：牛市下、熊市下、股市盘整期下,国内很少有对着三种不同的市场形态下对荐股评级进行研究。2.数据完整性：本文采用2005年到2011年底证券分析师给出的所有评级数据进行分析,并对A股所有的股票进行分析,这与之前不少的研究采用的是报纸或者电视上给出的推荐评级,更加具有完整性。本文也存在一定的不足之处,对荐股评级研究时只是利用其股价与荐股评级进行分析,没有过多地研究交易量、交易佣金方面进行考虑,这是本文内容上的不足同时笔者缺乏相关的证券从业经验,站在实践角度提出更多可行建议的能力有待提升,希望在以后的研究中能够得到一定改善。

    Since the Shanghai Stock Exchange and Shenzhen Stock Exchange formally opened in December1990and June1991, the security market in China has officially entered the track of development. And with the development of China’s securities markets, there are more and more of the listed companies and people gradually deepened knowledge of and participant in this market. However, in the face of increasingly complexity, individual investors is difficult to conduct a comprehensive analysis of securities investment. As a result, securities analysts are placed great expectations as an information broker.Securities analysts play an important role in the capital markets. As security market intermediaries, linking listed companies with investors, they analyze the potential economic and investment value through detailed investigation for listed companies, and provide investment advice to investors. In this way, they play a very crucial role to reduce the information asymmetry. Through comprehensive understanding and analysis of listed companies, they make the appropriate investment rating, such as "buy","neutral" and "sell". Then according to the analysts recommended stocks, the investors take investment operations. Will it give investors excess returns? What are the characteristics of the listed company’s securities analysts during rating? Is a mining company’s long-term investment value or a market’s short-term hot spot? Is their recommendation effective? Based on above questions, I took the rating behavior of securities as research subjects, the stock recommendation rating data as a research measure indicator, and had a research of stock recommendation on different market trends—bull and bear market to see whether they have a significantly different impact on the market. This paper used the event study methodology and tried to find out the differences and similarities of the Securities analyst stock recommendation stock behavior under the different market trends. The existence of the differences indicates that the market trend has an impact on the behavior of analysts; the existence of the similarities indicates that securities analysts have some standards and preferences. Through these studies, investors can get a better use of securities analysts, investment reports, and information to get higher returns.The content and structure of this paper is as following:Part One:IntroductionIt introduces the background, subject and meaning of this paper. It is in the context of the stock market step by step developing, the Securities Investor gradually increasing, and the investors in the face of a large number of increasingly complex trading products. Whether the information given by the security analysis is reliable or not will affect the investors significantly draw the research on the behavior of the security analysis. Then it introduced innovation and shortcomings in this paper. The innovation is the comparison of different market trends, and at the same time, it used the whole database in a long time period. The main shortcomings are that it doesn’t take the trading commissions into account, and the processing of data is not detailed enough.Part Two:Overview of the Securities Analyst IndustryFirst, it introduces the definition and classification of securities analysts. According to the property of the agency and the different interest groups, the analyst is divided into the buyer analysts, sell-side analysts and independent analysts. While the paper studied the seller of securities analysts, who is employed by a securities company to provide investment advice to public investors. Second, it describes the history of the analyst industry. The securities analyst appeared with the development of Chinese capital market. In the beginning, usually the security commentators gave some investment advices. However, there were some illegal problems. With the development of the regulations and standard in this industry, the requirements and the recognition of the analyst gradually improved. Third, it describes the functions of the securities analyst, which is to collect all kinds of information, to analyze and process, and finally provide investment advice to investors.Part Three:Literature ReviewThrough the study of foreign and domestic literature, I summarized the different effectiveness of recommended securities analysts. Also I chose to do this research based on the level of the individual public investors and the event study methodology.Part Four:the Theoretical Basis of this studyIt includes the efficient market theory and information economics.Part Five:Empirical StudyIt is the most important part in this paper. This part is divided into three sections. First, all the data I used is the recommendation of A-class stock divided into-buy, sell, and neutral—three types and—bull and bear—two markets trends. The stock price in research is present value of the stock price. The second section describes the steps using the event study, research events, selecting the event window and so on. After the data processing, I calculated the normal rate of return by market model, and used the stata software programming to obtain the average cumulative excess return of each time window. In the end, I analyzed different reference values of the security recommendations in different market trends. In a bull market, buy rating with a high reference value; sell rating has high reference value in a bear market; in the consolidation market, sell rating has a relatively high reference value. Then I conducted the similarities and differences in the different market trends.Part Six:Conclusions and RecommendationsIn this paper, the analysis of the empirical results obtained the recommending behavior of securities analysts has some characteristics. First, the accuracy of the securities analysts’ratings will be the impact of the market. Second, securities analysts widely have an optimistic attitude, and tend to recommend a buy rating. Third, a neutral rating given by securities analysts recommended the stock and some can be used as one of the sell portfolio choice, because the release of neutral rating trend is similar with sell ratings, and sometimes even a real decrease is larger than sell rating said. Fourth, securities analysts giving different rating will consider the trend of the stock before rating. Namely, the Chinese securities analyst is information-driven, prefers to concerned about the hot market and the star shares. Fifth, through a comparative analysis of the data obtained by three different rating given by the securities analyst, I found in different form of securities market, the reference value of the sell rating is relatively large.Based on the analysis results of this study, the effect of the securities analysts’ investment recommendations will be different because of different market conditions. But in general, sell recommendations has the best reference value to avoid certain risks. The investors need combine the investment report with the overall macroeconomic analysis to do their own investment. In short, investors can reasonable analyze the recommend stocks and take full advantage of the information collected by the security analysis, to obtain excess returns.

        中国证券分析师荐股评级的实证分析

摘要4-8Abstract8-111. 绪论14-19    1.1 研究背景14-15    1.2 研究选题及意义15-17    1.3 本文的创新与不足17-18    1.4 研究思路和框架18-192. 证券分析师行概述19-24    2.1 证券分析师的定义及分类19-20    2.2 证券分析师行的发展20-22    2.3 证券分析师的主要职能22-243. 文献综述24-30    3.1 国外文献综述24-25    3.2 国内文献综述25-304. 理论基础介绍30-33    4.1 有效市场理论30-31    4.2 信息经济学理论31-335. 实证研究33-57    5.1 数据来源与处理33-35    5.2 事件研究方法的步骤与设计35-40    5.3 实证结果分析40-57        5.3.1 数据的分类整理和描述统计40-42        5.3.2 牛市形态下的证券分析师评级比较42-45        5.3.3 熊市形态下的证券分析师评级比较45-49        5.3.4 盘整形态下的证券分析师评级比较49-53        5.3.5 不同市场形态下的买入、中性、卖出评级的比较分析53-576. 总结与建议57-60    6.1 实证总结57-59    6.2 对投资者的建议59-60参考文献60-63后记63-64致谢64

  本文关键词：中国证券分析师荐股评级的实证分析，由笔耕文化传播整理发布。