上市公司调研对投资决策有用吗——基于分析师调研报告的实证研究

发布时间：2018-04-03 02:21

本文选题：证券分析师　切入点：投资者关系管理　出处：《南开管理评论》2017年01期

【摘要】：聚焦于分析师上市公司调研报告,本文研究发现调研报告及评级调整事件发生后,投资者根据推荐上市公司进行买卖的相对行业超额收益率、相对大盘超额收益率都显著为正,特别是相对大盘超额收益率在事件发生前后有一个显著逆转,表明上市公司调研有一定投资决策价值且分析师在挖掘行业内有价值股票方面具有独特能力。然而与深度报告的超额收益率对比发现,调研报告的超额收益率并未优于深度报告,调整事件后,深度报告超额收益率的波动幅度要小于调研报告超额收益率的波动幅度。明星分析师、实力靠前的券商选股评级、分析师实施调研的时点、分析师调研活动特征以及公司规模、透明度都会对调研报告超额收益具有一定的显著性影响。上市公司调研有效性的发挥,需要在上市公司、券商以及监管部门共同努力下制定更有针对性的管理办法。
[Abstract]:Focusing on the research report of the analyst listed company, this paper finds that after the research report and the rating adjustment event, the relative industry excess yield of the investors buying and selling according to the recommended listed company, the relative market excess rate of return are all significantly positive.Especially, there is a significant reversal of the relative market excess return before and after the event, which indicates that the research of listed companies has certain investment decision value and the analysts have unique ability in mining valuable stocks in the industry.However, the comparison with the depth report shows that the excess return is not better than the depth report. After adjusting the event, the volatility of the depth report excess return is smaller than that of the research report.Star analysts, strong brokerage stock ratings, the timing of analysts' research, the characteristics of analyst research activities and the size of the company, and transparency will have a significant impact on the report's excess returns.In order to exert the effectiveness of research on listed companies, it is necessary to work out more targeted management methods under the joint efforts of listed companies, securities companies and regulatory authorities.
【作者单位】：南京大学工程管理学院;中泰证券研究所;
【基金】：国家自然科学基金项目(71271109l、71203144)资助
【分类号】：F832.51

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