卖空限制、分析师盈余预测分歧度与股票未来收益

发布时间：2018-11-11 15:38

【摘要】：本文选取2010年4月至2015年12月间沪深两市一直存在卖空限制和不存在卖空限制的两组公司作为研究对象,通过我国证券市场融资融券业务逐渐开放所提供的"自然实验"环境,分析了卖空限制、分析师盈余预测分歧度与股票未来收益间的关系。研究表明:在绝对卖空限制的条件下,"Dispersion effect"在中国资本市场显著存在,即分析师盈余预测的分歧度越大,投资者的股票未来收益是越小,两者之间是负相关关系;而卖空限制的放松显著改变了分析师盈余预测分歧度与股票未来收益的相关关系。当不再存在卖空限制,分歧度与股票未来收益不存在相关关系。因此,可以认为融资融券政策是具有市场效率的,它显著改善了市场的卖空限制的程度,使我国的资本市场向更合理的方向发展。
[Abstract]:From April 2010 to December 2015, two groups of companies with short selling restriction and no short selling restriction in Shanghai and Shenzhen stock markets were chosen as the research objects, and the "natural experiment" environment provided by the gradual opening of margin financing and short selling business in China's securities market was chosen as the research object. This paper analyzes the relationship between short selling restriction, the divergence of earnings forecast and the future return of stocks. The research shows that under the condition of absolute short selling restriction, "Dispersion effect" exists significantly in China's capital market, that is, the greater the divergence of analyst earnings forecast, the smaller the future return of investors, and the negative correlation between the two; The easing of short selling restrictions has significantly changed the correlation between analysts' divergence in earnings forecasts and future earnings. When there is no short selling restriction, there is no correlation between the degree of divergence and the future return of the stock. Therefore, it can be considered that margin policy has market efficiency, it has significantly improved the degree of market short selling restrictions and made the capital market of our country develop in a more reasonable direction.
【作者单位】：常州工学院;
【分类号】：F832.51

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