保守分析师的市场影响力

发布时间：2018-01-18 06:24

本文关键词：保守分析师的市场影响力　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：证券分析师在股票市场的健康发展过程中扮演着重要的角色,其发布的预测报告也越来越受到广大投资者的关注。但是大量理论和实证研究表明,分析师报告中的盈余预测信息普遍存在乐观倾向,那么这一系统性误差会对分析师的股票市场影响力产生什么样的影响呢?分析师对股市的影响力是否会随着分析师乐观或保守的程度不同而变化呢?目前,己有不少的外国学者在股票市场对保守分析师的需求这一课题上取得了相当的研究成果。Hugon和Muslu (2007)通过实证研究发现,保守分析师较乐观分析师所预测的股票同向的超额回报率更大,即市场反应更强烈。但国内学者对于该课题的研究还甚为少见。本文认为在分析师普遍存在乐观倾向的情况下,市场会产生对保守分析师的需求,其表现在于相对于乐观分析师的盈余预测调整,保守分析师所做出的盈余预测调整会引起更强烈的市场反应。本文选取了2006年至2010年间的分析师盈余预测数据对分析师的保守程度进行了评级,并运用事件研究法实证分析了事件窗口(窗口长度分别为5天和11天)内股票的累计超额回报与分析师个人保守程度、分析师所做出的盈余预测调整之间的关系,以检验保守分析师是否也会对我国市场具有更强的影响力。同时,本文检验了保守分析师是否对机构投资者比对市场整体具有更显著的影响力。研究结果表明,分析师群体的盈余预测调整总体来说对市场表现并无明显的影响力,但保守分析师所做出的盈余预测调整会使市场产生较强烈的反应；保守程度越高的分析师,做出盈余增加(降低)的调整时,股票短期内的正向(负向)累计超额回报率越大。研究还发现,将累计超额回报的检验窗口扩大后,数据的统计检验结果由不显著变为显著,因此本文认为,我国市场可能存在信息提前泄露或是信息流通不足的现象。然而,不同于美国市场上保守分析师对机构投资者存在显著的增量影响,我国的机构投资者对保守分析师并未表现出相对于股票市场整体更强烈的回应。本文认为其原因可能是可公开获得的盈余预测报告并非影响机构投资者作出决策的重要信息来源之一；以及,在我国,分析师倾向于发布乐观的预测以期提高机构投资者大量持有的股票的价格,从而获得佣金或竞争明星分析师的优势等相关利益。以上猜想有待考证。本文通过验证保守分析师对市场的影响力更大这一假说,揭示了我国市场对保守分析师具有识别能力,且存在一定的需求,以期促进分析师尽力排除预测时的乐观倾向,发布更保守、更稳健的预测信息,为规范市场操作、发展分析师行业做出贡献。
[Abstract]:Securities analysts play an important role in the healthy development of the stock market, and their forecast reports have attracted more and more attention of investors. However, a large number of theoretical and empirical studies show that. There is a general tendency to be optimistic about the earnings forecast information in the analysts' report, so what kind of impact will this systemic error have on the stock market influence of the analysts? Will the influence of analysts on the stock market vary according to the degree of optimism or conservatism of analysts? At present, many foreign scholars have made considerable research results on the demand for conservative analysts in the stock market. Hugon and Muslu 2007) through empirical research findings. Conservative analysts are more likely than optimistic analysts to forecast higher returns on stocks in the same direction. That is, the market reaction is more intense. However, the domestic scholars on this issue is still very rare. This paper believes that in the case of the prevailing optimistic trend of analysts, the market will produce demand for conservative analysts. Its performance is relative to the adjustment of the optimistic analysts' earnings forecast. The adjustment of earnings forecast made by conservative analysts will lead to a stronger market reaction. This paper selects the analysts' earnings forecast data from 2006 to 2010 to rate the conservatism of the analysts. Using the event research method, the paper empirically analyzes the cumulative excess return of the stock and the degree of individual conservatism in the event window (the length of the window is 5 days and 11 days respectively). The relationship between the adjustment of earnings forecast made by analysts to test whether conservative analysts will also have more influence on our market. At the same time. This paper examines whether conservative analysts have more significant influence on institutional investors than on the market as a whole. Generally speaking, the adjustment of earnings forecast of analysts has no obvious influence on market performance, but the adjustment of earnings forecast made by conservative analysts will make the market react more strongly. The higher the conservatism, the greater the positive (negative) cumulative excess return of stocks in the short term when adjusting for earnings increase (decrease). The study also found that the test window of cumulative excess return was expanded. The statistical test results of the data changed from not significant to significant, so this paper thinks that there may be the phenomenon of early information leakage or insufficient information circulation in the market of our country. Unlike conservative analysts in the US market, there is a significant incremental impact on institutional investors. China's institutional investors have not shown a stronger response to conservative analysts than the stock market as a whole. This paper suggests that the reason for this may be that publicly available earnings forecasts do not affect institutional investors' decision-making. One of the important sources of information; And, in China, analysts tend to issue optimistic forecasts to raise the prices of stocks held by institutional investors. In order to obtain commission or competitive star analyst advantages and other related interests. The above conjectures need to be verified. This paper verifies the hypothesis that conservative analysts have more influence on the market. It reveals that our market has the ability to identify conservative analysts, and there is a certain demand, in order to promote analysts try their best to eliminate the optimistic tendency of forecasting, release more conservative, more robust forecast information. To standardize market operations, the development of the analyst industry to contribute.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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