有限理性下证券分析师荐股评级乐观倾向的成因研究

发布时间：2018-04-30 00:13

本文选题：证券分析师 + 荐股评级　；参考：《合肥工业大学》2015年博士论文

【摘要】：证券分析师作为资本市场中重要的信息加工者和传播者,其主要职责是搜集上市公司的各种信息,运用专业知识进行分析,并向特定投资者发布评级和盈余预测报告,以作为投资者的决策依据。目前证券分析师荐股行为中普遍存在的乐观倾向会直接影响投资者的价值判断,进而对投资者利益及资本市场资源配置效率产生负面影响。降低证券分析师乐观倾向的前提是明确乐观倾向的成因,鉴于此,本文从“有限理性经济人”假设出发,探讨利益关系和认知偏差对证券分析师荐股评级乐观倾向的影响及作用机理,以期为治理分析师评级的乐观倾向提供理论基础和经验证据。文章将理论分析与实证研究有机结合,系统研究证券分析师荐股评级乐观倾向的成因,具体的研究内容如下：1.有限理性下证券分析师荐股评级乐观倾向的影响因素分析。基于信息不对称理论、利益相关者理论,提出本文研究假设—“有限理性经济人”假设。证券分析师作为有限理性经济人,其荐股行为受认知偏差和利益关系的共同影响。针对认知偏差因素,本文指出研究标的复杂、分析师行业发展不成熟、信息披露制度不完善和绩效考核体系不合理四个方面的原因导致了证券分析师的荐股评级行为存在认知偏差。关于利益关系因素,本文指出证券分析师面临四个方面的利益关系：与证券分析师所在公司相关部门的利益关系、与机构投资者的利益关系、与上市公司管理层的利益关系、与证券分析师自身及亲戚朋友的利益关系。2.有限理性下证券分析师荐股评级乐观倾向形成的机制研究。系统梳理了证券分析荐股评级乐观倾向形成的机理,以代表性偏差为例分析了认知偏差影响证券分析荐股评级的机理；基于“三角理论”框架,运用迎合理论、前景理论,从压力、借口和合理化解释三方面分析了利益关系影响证券分析师荐股评级的机理。进一步,基于证券分析师荐股评级内涵,阐述了证券分析师乐观评级的两种实现方式,并运用四因素模型、迎合理论和声誉理论分析了认知偏差和利益关系对证券分析师乐观评级实现方式的影响。3.有限理性下证券分析师荐股评级乐观倾向成因的实证检验。运用事件研究法,构建了二元Logit回归模型,并以2010～2012年间中国证券分析师荐股评级数据为样本,对证券分析师乐观倾向影响因素及乐观评级的实现方式进行了实证检验。结果表明：证券分析师所发布的评级大多是乐观评级,其评级乐观倾向受认知偏差和利益关系的综合影响,荐股前股票的超额收益率越高、账面市值比越低、公司规模越大、存在承销关系、机构投资者持股比例越高,证券分析师发布乐观评级的概率越高。证券分析师所发布的乐观评级,多数是以高估股票的预期收益为代价的,账面市值比越低、公司规模越大,机构投资者持股比例越高,证券分析师推荐的股票达到或者超过分析师预期的概率越高。4.结合本文的研究结论,为减少证券分析师行为偏差,提高其执业水平,从缓解证券分析师的认知偏差、削弱证券分析师与机构投资者的利益关系、加强对证券分析师研究行为的监管三个方面提出相关管理建议。
[Abstract]:As an important information processor and disseminator in the capital market, the main responsibility of securities analysts is to collect all kinds of information of listed companies, analyze them with professional knowledge, and publish ratings and earnings forecast reports to specific investors as the basis for decision-making. View tendencies will directly affect the value judgment of investors, and then have a negative impact on the interests of investors and the efficiency of resource allocation in the capital market. The premise of reducing the optimistic tendency of securities analysts is to clear the cause of optimism. In view of this, this paper starts with the false setting of "limited rational economy man" and discusses the interests and cognitive deviations to securities. The influence and mechanism of the optimistic tendency of the analyst's recommendation rating, in order to provide the theoretical basis and empirical evidence for the optimistic tendency of the analyst rating, combined the theoretical analysis with the empirical research, and systematically studied the cause of the optimistic tendency of the securities analyst's recommendation rating. The specific research contents are as follows: 1. the limited rationality On the basis of information asymmetry theory and stakeholder theory, this paper puts forward the hypothesis of "limited rational economy man" hypothesis based on information asymmetry theory and stakeholder theory. As a limited rational economy, securities analysts' stock behavior is influenced by cognitive bias and profit relationship. This paper points out that the complexity of the research mark, the immature development of the analyst industry, the imperfect information disclosure system and the unreasonable four aspects of the performance appraisal system lead to the cognitive deviation of the securities analyst's recommendation rating behavior. On the interest relation factors, this paper points out that the securities analysts are faced with four aspects of the interest relationship: and the evidence is proved. The interest relations of the relevant departments of the company, the interest relationship with the institutional investors, the relationship with the management of the listed companies, the relationship with the management of the listed companies, the interest relationship of the securities analysts themselves and their relatives and friends, and the mechanism research on the optimism tendency of the securities analysts' recommendation rating under the limited rationality of.2.. The mechanism of the formation of optimistic tendencies, taking the representative deviation as an example, analyzes the mechanism of the impact of cognitive bias on the recommendation rating of securities analysis. Based on the "triangle theory" framework, the mechanism of the securities analysts' recommendation rating in interest relations is analyzed by using the cater theory, the prospect theory and the three aspects of the pressure, pretext and rationalization interpretation. Based on the connotation of the securities analyst's recommendation rating, this paper expounds the two ways of realizing the optimistic rating of securities analysts, and uses the four factor model to cater to the theory and reputation theory to analyze the influence of cognitive bias and interest relationship on the optimistic rating realization of securities analysts.3., the cause of the optimistic tendency of the securities analyst's recommendation rating under the limited rationality. The two yuan Logit regression model was constructed by the event study method, and the samples of the securities analysts' recommendation rating data of China's securities analysts in the past 2010~2012 years were used to test the factors affecting the optimistic tendency of securities analysts and the way to realize the optimistic rating. The results showed that most of the ratings issued by securities analysts were happy. Rating rating, the optimistic tendency of its rating is influenced by cognitive bias and the comprehensive effect of interest relations. The higher the excess return of the stock before the stock market, the lower the book value ratio, the larger the company's scale, the underwriting relationship, the higher the proportion of the institutional investors, the higher the probability of the securities analysts to publish the optimistic rating. The optimistic rating issued by securities analysts. Most of them are at the cost of overestimating the expected earnings of the stock, the lower the book market value ratio, the larger the company's scale, the higher the shareholding ratio of the institutional investors, the higher the stock analysts' recommended stock or the higher the expected probability of analysts,.4. combined with the conclusions of this paper, to reduce the behavior deviation of securities analysts and improve their practice level. To alleviate the cognitive bias of securities analysts, to weaken the interest relationship between securities analysts and institutional investors, and to strengthen the supervision of three aspects of the supervision of securities analysts' research behavior.

【学位授予单位】：合肥工业大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.51

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