中国证券分析师的预测能力实证研究

发布时间：2018-04-02 14:37

本文选题：证券分析师　切入点：研究报告　出处：《西南财经大学》2014年硕士论文

【摘要】：随着证券市场的快速,上市公司不断增加,市场参与者越来越多,然而面对日益复杂的交易,投资者没有时间对大量上市公司进行研究,而且广大投资者也并不具备专业的分析能力及信息搜集能力,而证券分析师作为证券市场上的信息中介,衔接着上市公司与投资者,通过对上市公司进行详尽调查,分析其真实价值,并通过研究报告向投资者提供投资建议,因此证券分析师发布的研究报告一直以来都是投资者进行证券投资重要的参考依据。不过近年来分析师研究报告“乌龙”事件不断被曝光,分析师研报的参考价值受到前所未有的质疑,那么分析师研究报告提供的投资建议还有参考价值吗?按照分析师的建议进行操作能否获得超额收益?这个问题在国内外学术界已经争论了数十年了。我们认为分析师作为一个职业,其本身是具备存在的价值的,尽管有些分析师弄虚作假、妄下结论而误导投资者,但是这个行业必然存在一些“慧眼识金”的分析师,那么哪些分析师提供的研究报告具有更高的参考价值呢?本文试图解答这个问题。全文分为七章,各章内容如下：第一章,引言本章介绍了本文的研究背景、研究选题及意义并简要介绍了本文的研究思路与框架。首先简要的介绍了分析师工作内容及其向投资者提供投资建议的方式。然后我们从有效市场假设论证了分析师存在的价值。但是最近几年随着研究报告“乌龙”事件不断被报道,分析师研究报告也不断被推到舆论的风口浪尖,受到广大公众前所未有的质疑。从而提出问题：分析师提供的投资建议能否给投资者带来超额收益呢?对于这个问题国内外学者都做过大量的研究,但并没有取得一致的结论。因此本文对这个问题做进一步的研究无论对学术研究、广大投资者还是监管部门来说都是很有意义的。第二章,文献综述本章首先对国内外关于证券分析师推荐股票的投资价值的相关文献进行了回顾。国外学者对这个问题得到了大量的实证研究成果,但得出的结论并不一致。美国学者Cowles认为推荐的股票推荐后并不能产生超额收益。而Llovd-Davies、Canes却得到了相反的结论。由于我国股市与国外成熟的资本市场有着较大的差距,国外同类的研究成果对于本文的参考价值可能不大,故而我们很有必要了解国内相关的研究,国内最早开展此类研究的是林翔,他认为证券分析师的投资建议不具有投资价值,然而朱宝宪和王怡凯、唐俊和宋逢明的研究观点有所不同,他们认为分析师推荐的股票具有短线投资价值,不过从中长期来看并不能为投资者带来超额收益。后来的学者的研究也基本上维持着这一观点。为了了解影响证券分析师预测能力的因素,我们对以往的相关文献进行总结后发现分析师所在券商的规模、分析师从业经验、自信度、声誉度、分析师独立性、经济不确定性、上市公司信息披露程度都会影响其预测能力。第三章,中国证券分析师行业发展概述。分为三个小节对分析师行业进行简单介绍。第一小节介绍了我国证券分析师的发展历程,其历史可以追溯到中国股票市场成立之初,我们以监管部门实现监管为标准划分为四个阶段：萌芽阶段、自发阶段、规范发展阶段及高速发展阶段。第二小节我们介绍了证券分析师行业发展过程中暴露出的问题及原因分析。第三小节介绍了行业的发展趋势,随着我国经济的快速发展,证券行业必然能够迅速成长起来,大量的优秀人才将加入这个行业。第四章,证券分析师荐股价值的理论分析。主要介绍了与分析师有关的三个理论：行为金融学、有效市场假说、不对称经济信息学。第五章,证券分析师的预测能力影响因素分析。外部因素包括：分析师独立性、分析师声誉、券商研究实力、分析师面临的各种不确定性；内部因素包括：分析师自身素质、从业年限。之前的学者对分析师独立性、分析师声誉、券商研究实力、分析师面临的各种不确定性进行过大量的实证研究发现,分析师越独立,声誉越高,券商研究实力越强,其预测能力越强。但是对于内部因素进行研究的文献很少,特别是对于分析师从业年限对其预测能力的影响这个问题前人还没有研究过,而本文接下来的部分试图对这个问题进行实证检验。第六章,分析师预测能力实证研究。本章分五节。第一节对研究主体进行界定。本文的研究主体是卖方分析师发布的公司研究报告中的股票评级。第二节介绍了数据的来源及样本的处理。本文的数据选择是分析师发布的全部A股评级。我们将所有评级进行重新定义：积极评级(A级、B级)、消极评级(C级、D级)、不做评级为E级。第三节我们对证券分析师从业年限、研究报告股票评级样本进行了描述性统计。我国的分析师最长的从业年限是10年,但大部分分析师从业年限较短。分析师发布的股票评级具有乐观倾向。第四节研究设计。我们使用Excel软件对分析师发布的研究报告进行整理,并使用SAS软件进行统计分析,采用事件研究法进行实证检验。本文通过两个层次对分析师的预测能力进行检验。首先是分析师整体预测能力接着按从业年限分组检验各组分析师预测能力。研究结果表明：总体上来说,分析师具有较强的预测能力。分析师发布评级后,被评级公司的股价走势与分析师所做出的评级的方向大体一致。从业年限越长的分析师与从业年限越短的分析师相比,可以给投资者带来更高的异常收益。因此,我们认为分析师从业年限越长,其预测能力越强。从业年限长的分析师已经经历过一两个完整的行业周期的洗礼,对公司及行业有深刻而正确的理解,并且由于在该行业中并积累了大量的人脉资源,其获取全面、及时的信息的能力明显较强,因此他的选股能力也应该会相应的增强。如果投资者希望获得更高的超额收益,那么就应该更多的听取从业年限更长的分析师提供的投资建议,特别是其给出的强烈推荐的建议。第六章,研究结论与展望本章基于实证研究的结果得出本文的研究结论并对证券分析师、投资者、监管部门提出政策建议。对分析师的建议是提高专业能力,重视行业经验的积累；对投资者我们建议理性看待分析师研究报告；对监管部门我们建议完善证券分析师制度,加强行业监管,加大对违法行为的打击力度。本文的创新点：对于影响分析师预测能力的因素,之前的学者主要研究了外部因素,包括：分析师独立性、分析师声誉、券商研究实力、分析师面临的各种不确定性；但是对于内部因素进行研究的文献很少,特别是分析师从业年限对其预测能力的影响这个问题前人还没有研究过,本文从证券分析师从业年限这个角度对分析师预测能力进行了实证研究,这是对之前学者研究的一个重要补充。
[Abstract]:With the stock market, listed companies increased, more and more market participants, but the face of increasingly complex transactions, investors do not have the time to study a large number of listed companies, and investors do not have the ability to analyze and collect information of professional ability, and securities analysts as the stock market information intermediary, linking listed companies with investors of listed companies through detailed investigation, analysis of the true value, and through the research report to investors to provide investment advice, so the research report issued by securities analysts has always been an important reference for investors. But in recent years the analyst Research Report "Oolong" events continue to be exposed, the analyst research report the reference value is hitherto unknown challenge, then the analyst Research Report provides investment advice and reference The value of excess return? Can operate according to analysts' recommendations? This problem in the academic circles at home and abroad have been debated for decades. We believe that analysts as an occupation, which is itself have the value of existence, although some analysts resort to deceit, jump to conclusions and misleading investors, but this industry there must be some "eye general gold analyst, the report which analysts provide has higher reference value? This paper tries to answer this question.
The full text is divided into seven chapters, and the contents of each chapter are as follows:
Chapter 1, introduction
This chapter introduces the research background and significance of research topic, and briefly introduces the research ideas and the framework of this paper. First briefly introduces the working contents and analysts to provide investors with investment advice. Then we from the efficient market hypothesis is demonstrated in the analyst's value. But in recent years with the Research Report "Oolong events continue to be reported, analyst Research Report has been pushed to the opinion of the majority of the public questioned in the teeth of the storm, hitherto unknown. So we question: analysts provide investment advice to investors excess returns? For this problem of domestic and foreign scholars have done a lot of research, but there is no consistent conclusion. This paper made a further study on this issue both for academic research, investors or regulators are very meaningful.
The second chapter, literature review
This chapter first related literature at home and abroad on the value of securities analysts recommend stocks investment are reviewed. Foreign scholars have a large number of empirical research results on this issue, but the conclusions are not consistent. The American scholar Cowles that recommended the stock recommendation does not produce excess returns. And Llovd-Davies, Canes has been the opposite conclusion. Because of China's stock market and the overseas mature capital market there is a large gap, research results abroad may not be for the reference value, so it is necessary for us to understand the domestic related research, the earliest of these studies is Lin Xiang, he believes that securities analyst recommendations do not have investment the value of Zhu Baoxian and Wang Yikai, however, on the view of Tang Jun and Song Fengming are different, they think that analysts recommended stocks with short-term investment price However, the excess revenue from the long term and not for investors. Later research scholars also basically maintained this view. In order to understand the effect factors of securities analysts forecast ability, we summarize that the scale of the broker analysts where the previous literatures, the analyst experience, confidence, reputation analysts, independence, economic uncertainty, information disclosure of listed companies will affect the prediction ability.
The third chapter is an overview of the development of securities analysts in China.
Is divided into three sections: brief introduction on the analyst industry. The first section introduces the development process of China's securities analyst, its history can be traced back to the Chinese stock market at the beginning of the establishment of our regulatory authorities to achieve regulation as the standard is divided into four stages: embryonic stage, spontaneous stage, standardized development stage and the rapid development stage. The second section we introduced the problem and reason analysis revealed the securities industry analyst in the development process. The third section introduces the development trend of the industry, with the rapid development of China's economy, the securities industry will grow up quickly enough, a large number of outstanding talents to join the industry.
The fourth chapter, analysis of the value of the securities analysts recommendation theory. This part mainly introduces three theories and related analysts: behavioral finance, the efficient market hypothesis, asymmetric information economics.
The fifth chapter, analysis of the factors affecting the predictive ability of securities analysts. The external factors include: independent analysts, analysts reputation, brokerage research strength, various analysts face uncertainty; internal factors include: the analyst's own quality, working years. Previous scholars on analysts' independence, analysts' reputation, brokerage research strength, various analysts face the uncertainty had a large number of empirical studies have found that the more independent analysts, higher reputation, brokerage research strength is strong, the prediction ability is strong. But the study on the internal factors of the literature rarely, especially has not studied the influence on the ability to predict the analyst in the age of this problem and the previous, next try to make empirical test on this issue.
The sixth chapter, empirical research of analysts' forecasts. This chapter is divided into five sections. The first section of the study subjects were defined. The main research of this dissertation is the company research report issued by the seller analyst's stock rating. The second section introduces the origin and processing of the sample data. The data is released by analyst selection of all A shares we will all rating. Ratings were redefined: positive rating (a, B), negative rating (C, D), do not grade E. The third section of our securities analyst working years, research report stock rating sample descriptive statistics. In the age of China's longest analyst is 10 years, but most analysts working life is short. Analysts issued stock rating with the optimistic tendency. The fourth section on design. We use Excel software to research report released by analyst finishing, and use the SAS software A statistical analysis of the empirical test using the method of event study. This paper was tested through two levels of ability to predict analysts. The first is the overall predictive ability of analysts working years were followed by grouping test analyst forecast ability. The results show that: Overall, the analyst has a strong predictive ability. Analysts released after being make the stock price and the Rating firm analyst ratings have roughly the same direction. Compared with working years longer and shorter working years analyst analysts, can give investors a higher abnormal return. Therefore, we believe that analysts working years longer, the prediction ability is stronger. In the age long analysts have experienced one or two a complete cycle of baptism, has a deep and correct understanding of the company and the industry, and because in the industry and The accumulation of a large number of human resources, the ability to obtain comprehensive, timely information was strong, so his stock picking ability should be the corresponding enhancement. If investors want to obtain higher excess returns, so you should listen to more practitioners longer analysts provide investment advice, especially given the strongly recommend the advice.
The sixth chapter, the conclusion and Prospect of the research
This chapter is based on the results of empirical research conclusion of this paper and the investors in the securities analyst, and put forward the policy recommendations of regulatory authorities. Analysts suggest to improve the professional ability, pay attention to the accumulation of experience in the industry; to investors, we suggest a rational view of Analyst Research Report to the regulatory authorities; we suggest perfecting the securities analyst system, strengthen the supervision. To increase efforts to crack down on illegal activities.
The innovation of this paper. The influence of analyst forecast ability factors, previous scholars mainly study the external factors, including analysts' independence, analysts' reputation, brokerage research strength, various analysts face uncertainty; but the study on the internal factors of the literature rarely, especially the influence of analysts working years on the ability of the prediction the previous problem has not been studied, this paper from the angle of securities analysts in the age prediction ability makes an empirical study of the analyst, which is an important complement to previous scholars.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】