基于创业板的分析师盈利预测可靠性的实证研究

  本文关键词：基于创业板的分析师盈利预测可靠性的实证研究，由笔耕文化传播整理发布。

        随着中国证券市场的不断发展,投资者变得越来越成熟,投资决策也由技术分析向挖掘公司价值转变。作为普通的投资者,在信启、的获取上面远远不能满足决策的需求,而且大众投资者也不具备专业的分析能力,不能对数量众多的上市公司进行有效分析。在这一情形下,证券分析师就成为连接上市公司和普通投资者间的纽带,他们具有专业的背景,拥有比较多的获取信息的渠道,可以对上市公司进行专业分析,并且可以将分析报告传递给普通投资者,对投资者进行投资建议。由于盈利信息是进行价值评判的最重要的信息之一,是整个公司价值的基石,所以在证券分析师出具的分析报告中,最引人注目的就是对上市公司的盈利预测。在会计信扈、越来越强调有用性的今天,公司的历史数据已经不能满足市场的要求,投资者需要获得关于公司未来的盈利信息,以便能够更好的对其投资决策提供帮助。因此,关于证券分析师盈利预测信息的相关问题也就成为了证券市场研究的一个重要部分。决策有用观要求会计信息具有有用性。在国外,许多实证研究已经证实,证券分析师是可以提供有用的盈利预测信息,而盈利预测有用与否,对投资者帮助的大小直接和分析师盈利预测信息的准确度相关,由此可见,要想确保会计信息的有用性,首先要确保会计信息的可靠性,即要确保证券分析师盈利预测信息的准确度。在我国,由于资本市场发展程度和西方发达国家还是存在差距,在对证券分析师盈利预测信息可靠性和有用性的检验上面还不多见。鉴于我国会计准则将可靠性作为会计信息有用性的前提,笔者将证券分析师盈利预测信息的可靠性作为研究方向,在确保能够满足一定程度的可靠性的同时,再去检验盈利预测信息的有用性。本文将样本选取的范围放在创业板公司主要是为了能够更好的检验证券分析师的盈利预测的可靠性程度。因为创业板公司由于本身的风险,将会导致证券分析师预测的难度增加,同时在面对创业板公司的时候,投资者对盈利预测信息的可靠性也会更加依赖,信息的有用性也更加重要。基于上述原因,作者最终确定的研究点为基于创业板的分析师盈利预测的可靠性研究。本文在弱势有效市场、信息的不对称理论和会计信息有用性的基础上,借鉴国内外相关研究经验,对证券分析师出具的关于创业板上市公司的盈利预测信息进行了检验,首先进行的是可靠性检验,进而检验信息的有用性或者说是价值性。本文总共包含五章,主要结构和内容如下：第一章,导论。本章重点介绍了本文的研究背景、研究意义、研究方法和思路。首先介绍了伴随着中国证券市场的发展,投资者对盈利预测信息的关注,以及现在可以提供的三种盈利预测信息：证券分析师,管理层当局和根据统计模型做出的盈利预测。接下来介绍了当前我国证券分析师的发展状况以及创业板上市公司的风险。第二章,文献综述。本章回顾了国内外关于证券分析师盈利预测的相关文献,进而进行国内外相关文献的比较,发现我国在这方面的研究与国外存在差距,原因主要是国内证券市场起步较晚,证券分析师属于新兴行业,没有相关研究数据库的支持。第三章,相关概念和研究理论基础。为了更好的进行下面实证的工作,本章首先对盈利预测信启、、证券分析师等有关概念进行了定义和概述,较全面的介绍了我国证券分析师行业的发展历程和现状,然后提出A股创业板上市公司的一些缺陷,最后以有效市场假说理论、信息的不对称理论以及会计信息有用性理论作为本文的理论基础。第四章,对证券分析师的盈利预测进行实证分析。本文的研究假设是市场的弱势有效性。接着,对研究样本和研究设计分别进行了说明,最终选定了146家样本,最后进入实证。实证分两部分进行,首先对创业板证券分析师的盈利预测信息进行可靠性的检验,可靠性是有用性的一个重要前提。通过描述性统计和回归分析,结果显示有85%的盈利预测信息具有一定程度上的可靠性,误差低于20%的占比为60%,综合07年有关研究人员所做的主板的统计结果来看,我国证券分析师盈利预测信息的可靠性有了很大程度上的提高,可靠性有了一定程度的保障,但是证券分析师的预测还是具有乐观的偏向性。第二部分,在可靠性得到保证的前提下,运用模型对证券分析师盈利预测信息的有用性进行整体检验,并且按照证券分析师的乐观性将样本分为正信号组和负信号组分别进行检验,实证结果表明,在这三组样本中,证券分析师盈利性的准确程度和股票回报率之间并没有出现显著的相关性,这点和07年所做的主板市场的研究也不同,07年主板市场的研究结果为负相关。第五章,研究结论和相关思考。本章分为四个方面,第一方面研究结论,在对样本进行实证的结果表明,创业板证券分析师盈利预测信启、的可靠性较高,但是不能为投资者带来超额回报,信息的有用性还没有显现。第二方面,研究的局限性。第三方面,总结了证券分析师盈利预测信息出现偏差的原因,主要可能由于创业板本身变动性强,证券分析师利益驱动,证券分析师发布乐观预测来获得更多的私人信息以及管理层盈余管理动机的存在等原因造成的。至于盈利预测信息有用性不显著,笔者认为可能是由于投资者过度重视投机,价值投资理念不足；证券分析师独立性不足,导致投资者不信任；分析师过于重视私人信息等原因造成的。第四方面,提出建议。要加强对投资者的风险和价值投资的教育,完善创业板退市制度和信息披露制度,加强对证券分析师,券商等相关利益群体的监管和加大对其的惩罚力度,杜绝危险中小投资者利益的行为发生。本文从会计信息的有用性角度入手,首先对证券分析师所作盈利预测的可靠性进行了检验,发现证券分析师所做的盈利预测准确性程度有了较高的保障。其中,盈利误差低于20%的共有84家,占总体样本的57.53%,盈利误差在20%到40%之间的共有39家,占总体样本的26.71%,两者占总体样本数的84.24%。这说明我国证券行业分析师在对创业板上市公司盈利预期的把握上和自身的专业能力有了很大的提高,可以较好的把握所关注公司的盈利预期,预测的会计信息的可靠性有保障。但是,在本文加入了影响股票回报的账面一市值比率,规模,市场风险因素这几个相关因素的基础之上,运用回归方法对总体样本,以及正信号组和负信号组这两个子样本的进行检验时发现,证券分析师的预测盈利信息与股票的异常回报值之间并没有出现显著的相关关系,这就说明我国证券分析师的盈利预测信息还不能够给投资者带来较长一段持有期内的超额投资回报,盈利预测信息的有用性程度低,不能满足现在证券市场的使用要求。由于客观情况存在,本文存在着一些不足,首先是,本文所选的样本公司为创业板上市公司,而创业板在09年才正式开市。因此样本公司的数量,以及创业板股票的剧烈波动性都可能对股票回报造成影响,同时本部分也提出了尽量避免影响的办法。另外,对于自变量的选取也可能值得深入探讨。本文在做回归分析的时候只是采用了股票回报三因素模型,即只考虑了3个可能会影响股票回报的因素：代表相对于市场风险的Beta系数、公司的规模和账面一市值比率,影响股票的因素可能考虑的不够完整,这个会在一定的程度上对实证研究的结果造成影响。本文具有以下一些贡献：(1)将对证券分析师盈利预测信启、的可靠性和有用性的检验放到了创业板上进行。由于创业板和主板本身的定位不同,创业板在发行审核方面对上市公司的要求远低于主板市场,创业板上市公司也就具有了相对于主板企业来说明显不同的特点,加上中国证券市场的相对不成熟,导致创业板具有了公司经营主业单一、业绩变动性大；在进行IPO时过度包装；股本发行量少导致股价容易被人为操纵这些特征。这些特征就加大了分析师进行预测的难度,同时使得投资者反而更依赖证券分析师的盈利预测信启、,从而解决信息不对称的不足。在此种情况下,对创业板分析师盈利预测信息进行研究就很有必要,但是由于创业板开板不久,数据和相应的资料较少不易获得,目前还没有学者对创业板下证券分析师盈利预测信息的相关方面进行检验。(2)经过实证分析得出的结论对投资者有一定的参考作用,同时通过得出的结论可以更好促进我国证券分析师行业的健康发展。(3)提出了关于加强投资者教育、完善创业板退市制度及加强对证券业相关服务机构的监管和制度建设的建议,这有助于完善我国的证券市场制度,使得我国证券市场更加规范。

    With the developing of the Chinese security market and maturing of Chinese investors, investment decisions are made increasingly based on analysing the value of company rather than technical analysis. However, ordinary investors could not effectively analyse all the listed companies due to lack of information and analysis capacity. And securities analysts are professional in obtaining and analysing different information from listed companies. Therefore, securities analysts play a key role in dealing with and delivering useful information from listed companies to ordinary investors. Among all the information, earning forecast is one of the most important information for analysing the value of the company. Hence, earning forecast is one of the most favourite research topics about security market.The principle of being useful to decision-making leads to usefulness of accounting information. Many empirical studies, in foreign countries, have proved that securities analysts can provide useful information about earnings forecasts. And the usefulness of earning prediction directly relates to the help to investors and the accuracy of analysts’ forecasting. Therefore, for the purpose of ensuring the usefulness of accounting information, the most important thing is to ensure the reliability of accounting information. This means to ensure the accuracy of the information of securities analysts’ profit forecast. In China, due to development gap of capital market between China and the western countries, it is rare to find test about reliability and usefulness of information relating to securities analysts’ profit prediction. Reliability is seen as premise of usefulness in Chinese GAAP, so the reliability of securities analysts’ earning forecast is the theme of this research. And the usefulness of it will be tested when reliability is met to some extend. In order to make a more effective test about the reliability of securities analysts’ prediction, samples are collected from the GEM (Growth Enterprises Market) board. This is because the risk of listed companies in GEM board will increase the difficulty of securities analysts prediction. On the other hand, when making decision about these companies, investors are more reliant on the reliability of the earning forecast. And the usefulness of information is more important. Due to the above, the author finally determined to research the reliability of analysts’earning prediction based on the data from the GEM board.The theoretical basis of this dissertation is the weak-form efficient-market hypothesis, the asymmetric information theory and the usefulness of accounting information. And this research is also done based on the domestic and foreign relevant research. In this dissertation, the reliability of earning prediction is tested, which is followed by the testing of the usefulness.This dissertation is divided into five parts.The first chapter is introduction. This chapter focuses on research background, worth of this research, research methods and ideas. Also, that information of earning forecast increasingly concerns investors along with the development of the Chinese securities market is mentioned. And in this chapter, three types of earning forecast information are introduced:earning forecast of securities analysts, earning forecast from management authorities and earning forecast based on the statistical model. The following part introduces development condition of Chinese securities analysts and the risk of listing on the GEM board.Literature review is the second chapter. Literatures, from China and other countries, about securities analysts’profit forecast are reviewed and compared. It is found gap appears comparing research in China and that in other countries. This is because the lag of development of Chinese security market makes securities analysts a new industry and lack of the support based on relevant data.The third chapter is about relevant concepts and theoretical basis. The first part of this chapter is the summary of the definitions and relevant issues of profit forecast information and securities analysts. And then current industry conditions of the securities analysts are summarised. The specific characters of listed companies on the GEM board are introduced in the following part. At last, the theoretic basis which is made by the efficient-market hypothesis, the asymmetric information theory and the usefulness of accounting information is mentioned.The fourth chapter is the empirical test of securities analysts’earning forecast. The hypothesis of this dissertation is the weak-form efficient market. And then the sample and design of this study are explained.146sample companies are selected to be tested. The empirical test is divided into two steps. At first the reliability of securities analysts’earning forecast is tested. After testing, it is found that85%of profit forecast are reliable. And60%of them deviate less than20%comparing with the real earning. Comparing with research based on data in2007, it indicates that the reliability has improved a lot. But, still, result shows the predictions are more likely to be optimistic. And then for testing the usefulness, data are divided into2groups-positive information group and negative information group according to the analysts’optimism. Regression test is applied again. And the results tell there is no relationship between reliability of profit forecast and stock return. This means earning prediction is irrelevant to investors’decision-making. This is different from the result of a research in2007on the motherboard, which shows the relationship is negative.The fifth chapter is conclusion and related thinking. There are four parts in this chapter. The first part is conclusion. The empirical results show that securities analysts’ earning forecasts are highly reliable, but they cannot bring excess return. Another finding is that the usefulness of information does not appear. The limitations of the study are mentioned in the second part. The third part is about the summary about why securities analysts’ earning forecast could deviate. This may be caused by the volatility of the GEM board itself, drive of securities analysts’ benefit, the purpose of releasing optimistic forecasts in exchange of more private information, and motivation of the existence of earnings management from management of company. When talking about the insignificant of the usefulness of earning prediction, the author thinks this might be the result of excessively speculation and lack of the idea of value investment. Also lack of trust from investors led by insufficiently independence of Securities analysts might also decrease the usefulness. And the over emphasis on private information could also make this problem. Some advices are made in the fourth part. It is suggested that investors need to learn more about risk and value investing. Regulations of delisting and information disclosure should be improved as well. Further, for avoiding damaging medium and small investor’s benefits, supervision to securities analysts, brokers and other stakeholders also needs to be strengthened.

        基于创业板的分析师盈利预测可靠性的实证研究

摘要4-8Abstract8-101. 导论13-18    1.1 研究背景13-14    1.2 研究意义14-15    1.3 研究方法及思路15-182. 文献综述18-26    2.1 国外相关文献18-21        2.1.1 分析师盈利预测与预测模型、管理层预测优劣18-19        2.1.2 分析师盈利预测倾向性19-20        2.1.3 分析师盈利预测信息有用性研究20-21    2.2 国内相关文献21-24    2.3 国内研究与国外研究比较24-25    2.4 现有研究简要评述25-263. 分析师盈余预测相关概念和理论研究基础概述26-42    3.1 分析师盈利预测简介26-29        3.1.1 盈利预测定义26-27        3.1.2 盈利预测的分类27-28        3.1.3 盈利预测的作用28-29    3.2 我国分析师行业发展历程及现状29-34        3.2.1 我国分析师行业发展历程29-31        3.2.2 我国分析师行业发展现状31-34    3.3 创业板上市公司特点34-36        3.3.1 创业板上市公司上市条件34-35        3.3.2 创业板上市公司特点35-36    3.4 理论基础36-42        3.4.1 有效市场假说36-39        3.4.2 信息不对称39-40        3.4.3 会计信息的有用性40-424. 实证分析42-55    4.1 研究假设和研究设计42-43        4.1.1 研究假设42        4.1.2 研究设计42-43    4.2 样本和数据43-44    4.3 可靠性检验—证券分析师对创业板公司的盈利预测44-46    4.4 价值性检验—证券分析师对创业板公司的盈利预测46-555. 结论与思考55-62    5.1 研究结论与局限55-57        5.1.1 本文研究结论55-56        5.1.2 本文研究局限性56-57    5.2 对本文结论的思考57-59    5.3 政策和建议59-62参考文献62-65后记65-66致谢66-68在读期间科研成果目录68

  本文关键词：基于创业板的分析师盈利预测可靠性的实证研究，，由笔耕文化传播整理发布。