不同类型研究报告投资价值研究

发布时间：2018-05-24 14:38

本文选题：深度报告 + 调研报告　；参考：《南京大学》2014年硕士论文

【摘要】：券商研究所及其证券分析师发布的个股研究报告一直以来都是投资者重要的投资参考依据,但是不同券商的个股研究报告所包含的信息量不一,券商深度报告与券商调研报告所包含的信息量最大,本文主要采取事件研究法、多元回归分析法以及描述性统计法对券商调研报告和券商深度报告的投资价值及其影响因素进行了分析。从事件研究的结果来看,证券分析师的深度研究报告、调研报告倾向于推荐那些行业内的优秀公司且前期具有正价格动量的股票,在报告发布之后十日内,股票仍然会延续之前的表现；证券分析师发布深度报告、调研报告调整评级对于市场的影响力弱,发布报告之后一个月、两个月、三个月之内,未调整大盘、调整大盘的平均累计收益率并未有显著的规律性。从证券分析师调整评级影响因子多元回归的结果来看明星分析师对深度报告调整评级的股票累计相对收益率有着显著影响,券商研究所实力以及公司规模的影响不大。从调研报告和深度报告推荐标的超额收益率的多元回归分析结果中,调研报告评级在事件后3日,事件后10日,对市场产生了显著的影响,在发布后一个月、两个月、三个月后,对市场的影响不显著,而深度报告评级在发布后3日,对市场产生了显著的影响,在发布后十日、一个月后,对市场的影响不显著,但是在两个月、三个月后对股价具有显著的影响。调研报告、深度报告的评级调整并未对推荐的股票的股价反应产生显著影响。调研报告中,明星分析师或实力排名靠前的券商的选股评级并没有显示出对股价反应的边际增量,但在深度报告中,明星分析师的选股评级在深度报告发布之后3日、10日、1个月内有显示出对股价反应的边际增量。在调研报告发布三日内,公司规模对样本的市场反应产生显著影响,发布后十日,一个月、两个月、三个月之后并未产生显著的影响。深度报告中,公司规模对样本的市场反应并未产生显著影响。
[Abstract]:The research report on individual stocks issued by the Institute of Securities Research and its securities analysts has always been an important investment reference for investors, but the amount of information contained in the individual stock research reports of different securities firms varies. The depth report and the research report of securities firms contain the largest amount of information. This paper mainly adopts the method of event research. Multiple regression analysis and descriptive statistics are used to analyze the investment value and its influencing factors of the research report and the depth report. Judging from the results of the event study, the in-depth research report of the securities analysts, the research report tends to recommend stocks with positive price momentum in the early stages of those excellent companies in the industry, within 10 days of the publication of the report. Stocks will continue their previous performance; securities analysts will release depth reports and research reports on the weak impact of rating adjustments on the market. One month, two months, three months after the release of the report, the market has not adjusted. The average cumulative rate of return on the adjustment market is not significantly regular. According to the results of multiple regression analysis, star analysts have a significant impact on the cumulative relative yield of stocks with depth report adjustment, while the strength of brokerage research and the size of the company have little impact. From the results of multiple regression analysis of the excess return rate recommended by the research report and the depth report, the rating of the research report had a significant impact on the market 3 days after the event and 10 days after the event, one month, two months after the release. Three months later, the impact on the market was not significant, while the depth report rating had a significant impact on the market three days after the release. Ten days after the release, a month later, the impact on the market was not significant, but in two months, Three months later has a significant impact on the stock price. According to the research report, the depth report rating adjustment did not have a significant impact on the stock price reaction of the recommended stock. In the research report, the ratings of star analysts or top-ranked brokers did not show a marginal increase in the reaction to share prices, but in the depth report, Star analysts' ratings showed marginal increments in their reaction to share prices three days, 10 days after the release of the in-depth report. Within three days of the report's release, the size of the company had a significant impact on the sample's market response, with no significant impact 10 days, one month, two months and three months after the report was released. In the depth report, the size of the firm had no significant effect on the market response of the sample.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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