买方分析师荐股的投资价值研究

发布时间：2018-07-27 13:54

【摘要】：证券分析师通常任职于券商、投资银行、独立咨询机构或基金公司、保险公司、私募机构等。任职于券商、投资银行、独立咨询机构的的称为卖方分析师,任职工基金公司、保险公司、私募机构的称为买力分析师。买方分析师与卖方分析师在报酬获取方式和研究报告是否公开方面存在重大区别,这两方面的区别又产生了一系列的的其他区别。这些区别使得前人对卖方分析师的研究结论不能自动适用于买方分析师。由于买方分析师的研究报告是不公开的,因此学界难以对其展开研究。就笔者阅读所及,国外研究买方分析师的文献凤毛麟角,国内则一片空白。要对买方分析师的荐股绩效进行研究,只能通过间接的途径获取样本。本文假定基金的重大买入卖出操作有买方或卖方分析师的研究作依据,然后从重大买入卖出操作涉及的股票中,剔除卖方分析师推荐的股票,再采用事件研究法以及市场调整模型、CAPM模型、Fama-French三因子模型和Carhart四因子模型来研究其余的股票是否能产生水久性的超额收益,以此度量买方分析师单独荐股的信息含量。采用上述方法考察2005年1月到2011年6月基金的重大买卖操作后,得到以下结论：(1)买方分析师的买入推荐没有包含私有信息；(2)卖出推荐有私有信息；(3)市场需要大约8个月时间才能消化卖出推荐中包含的私有信息,可能是由于我国股市长期缺乏做空机制所致。前两项结论正好与前人对卖方分析师的研究结论相反考虑了股权分置改革、新《企业会计准则》的实施以及日历效应的影响后,本文结论依然成立,有的甚至能加强本文的结论。本文的主要创新点包括：(1)在研究对象上,本文可能是国内第一篇研究买方分析师的文献；(2)在研究方法上,本文提出了一种间接获取样本的方法；(3)在研究结论上,与前人关于卖方分析师的结论正好相反。另外,本文在一些模型的具体构建上也有一定的创新。
[Abstract]:Securities analysts usually work for brokerage firms, investment banks, independent consultants or fund companies, insurance companies, private equity firms, etc. Those who work for brokerage firms, investment banks and independent consultancies are called seller analysts, employee fund firms, insurance companies, and private equity firms called buying force analysts. There are significant differences between buyer and seller analysts in terms of how they are paid and whether the research is public, which in turn gives rise to a series of other differences. These differences do not automatically apply to buyer analysts. Because the buyer analyst's research report is not public, therefore the academic circles is difficult to carry on the research to it. As far as the author reads, the literature of foreign buyer analysts is rare, while the domestic one is blank. In order to study the performance of the buyer's analysts, we can only obtain samples indirectly. This paper assumes that the significant buying and selling operation of the fund is based on the research of the buyer or seller analyst, and then excludes the stocks recommended by the seller analyst from the stocks involved in the major buying and selling operation. Then we use event research model, market adjustment model Carhart three-factor model and Carhart four-factor model to study whether the remaining stocks can produce long-lasting excess returns, so as to measure the information content of the buyer's analysts. From January 2005 to June 2011, the following conclusions are obtained: (1) the buyer's analyst's buy recommendation does not contain private information; (2) the selling recommendation has private information; (3) it takes about 8 months for the market to digest the private information contained in the selling recommendation, which may be due to the lack of shorting mechanism in China's stock market for a long time. The first two conclusions are just contrary to the previous research on the seller's analysts. After considering the impact of the split share structure reform, the implementation of the new Accounting Standards for Enterprises and the calendar effect, the conclusion of this paper is still valid. Some can even strengthen the conclusion of this paper. The main innovations of this paper are as follows: (1) this paper may be the first literature on buyer analysts in China; (2) on the research method, this paper proposes an indirect method to obtain samples; (3) on the conclusion of the research, Contrary to previous conclusions about seller's analysts. In addition, this paper also has some innovation in the concrete construction of some models.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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