凯恩斯选美竞赛与分析师预测偏差行为——基于高阶预期的研究视角

发布时间：2018-01-02 06:39

本文关键词：凯恩斯选美竞赛与分析师预测偏差行为——基于高阶预期的研究视角　出处：《金融研究》2017年07期 　论文类型：期刊论文

【摘要】：现实中,分析师一方面难以坚持已见,往往随行就市改变自己之前给出的预测数字,即所谓的"变脸行为";另一方面常常盲从因袭,呈现出明显的羊群特征。本文在凯恩斯经典的选美竞赛理论框架下对此展开讨论,提供有别于已有研究的新解释,以期拓展我们对分析师预测偏差行为根源的认识。基于2004-2010年中国A股上市公司的数据,本文研究发现:(1)分析师行为存在选美竞赛现象,他们在预测时会倚重于市场上其他参与者的平均看法(高阶预期),而这也导致了变脸行为的发生;(2)分析师选美竞赛效应与其预测趋同行为密切相关,即分析师越倚重于高阶预期,其做出勇敢预测的可能性越小,羊群特征也越明显;(3)与一般分析师相比,明星分析师对高阶预期的依赖程度有所减轻,表现出的选美竞赛效应和羊群行为特征都有所减弱。
[Abstract]:In reality, analysts have to insist on one hand it is difficult to change, tend to follow the market their forecast given before, the so-called "face"; on the other hand often blindly following, showing obvious characteristics of sheep. Based on the theoretical framework of Keynes's classic beauty contest this discussion provides a new interpretation different from existing the study, in order to expand our understanding of the causes of deviant behavior analysts predict. 2004-2010 China A shares of listed companies based on the data, this study found that: (1) there is a beauty contest phenomenon analyst behavior, they will rely on the average view of other market participants in the prediction of the (high order expected), and this is in the face of behavior; (2) closely related to analyst contest prediction effect and its convergence behavior, which analysts increasingly dependent on higher-order expectations, the possibility of predicting the brave The characteristics of the herd are also more obvious. (3) compared with the general analysts, the dependence degree of star analysts on high expectations is reduced, and the beauty contest effect and herding behavior characteristics have weakened.

【作者单位】：厦门大学管理学院;
【基金】：国家自然科学基金项目(编号:71472161、71232005、71672158和71402155) 中央高校基本科研业务费专项资金资助项目(编号:20720140014和20720151180)的资助
【分类号】：F832.51
【正文快照】： 一、引言长期以来,作为资本市场重要参与者的分析师被认为在提高公司透明度、缓解信息不对称、增进股票市场信息效率、增强投资者保护水平等方面发挥着至关重要的作用(朱红军等,2007)。然而现实中,分析师却经常发布令市场诧异、与专业身份不符的预测报告,为投资者和媒体所诟病

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