机构投资者和证券分析师对未来盈余反应系数的影响研究
发布时间：2018-10-09 09:59
【摘要】：在资本市场上，其资源配置效率在很大程度上取决于市场定价能力，即是否具有高效的价格发现机制。而高效的价格发现机制的形成，又有赖于是否存在发达的信息中介机构以及相对成熟的投资群体。机构投资者作为投资理念相对成熟的投资者，在规模、信息和知识方面具有明显优势，是市场上普通投资者的投资风向标μ。而作为证券市场的专业分析人员，证券分析师针对公司发表的盈利预测报告以及投资建议无疑是投资者最重要的信息源。然而机构投资者和证券分析师在发展中暴露出的一些负面影响，使人们对其在证券市场中的作用一度产生了争议，并对其是否引导投资者理性投资也存在质疑。 对企业未来盈余能力的准确解读是评估证券价值和进行投资决策的关键所在，因此大部分学者的研究主要集中在机构投资者或证券分析师的盈余预测的准确性上。而本文则从信息传递者的角度出发，利用未来盈余反应系数这一国际前沿的市场效率衡量指标，从整体上分析机构投资者和证券分析师对市场定价效率的影响。本文的研究结果表明，由于具有明显的信息搜集加工优势以及专业的分析人员，机构投资者和证券分析师能够较准确的把握公司未来盈余能力，并将所掌握的反映证券内在价值的信息传递到市场上，引起股价对其反应，显著提高市场的未来盈余反应系数，从而提高市场定价效率。 本文利用未来盈余反应系数检验了我国证券市场的定价效率，并在此基础上重点分析了机构投资者和证券分析师对市场定价效率的影响。对这一问题的研究也将有助于普通投资者进一步理解机构投资者和证券分析师的行为，也为相关监管部门规范和引导我国证券市场的投资行为，，提升市场效率提供了决策参考。
[Abstract]:In the capital market, the efficiency of resource allocation depends on the market pricing ability to a great extent, that is, whether there is an efficient price discovery mechanism. The formation of efficient price discovery mechanism depends on the existence of developed information intermediaries and relatively mature investment groups. As a relatively mature investor, institutional investors have obvious advantages in scale, information and knowledge, and are the investment vane 渭 of ordinary investors in the market. As a professional analyst in the securities market, the profit forecast and investment advice issued by securities analysts are undoubtedly the most important source of information for investors. However, some negative effects on the development of institutional investors and securities analysts have caused some controversy about their role in the securities market, and there are also doubts about whether they can guide investors to invest rationally. The key to evaluate the value of securities and to make investment decisions is to accurately interpret the earnings ability of enterprises in the future. Therefore, most of the scholars' research focuses on the accuracy of earnings prediction of institutional investors or securities analysts. On the other hand, from the perspective of information transmitters, this paper analyzes the influence of institutional investors and securities analysts on market pricing efficiency by using the future earnings response coefficient, which is a measure of market efficiency in the international frontier. The results show that because of the obvious advantages of information collection and processing and professional analysts, institutional investors and securities analysts can accurately grasp the future earnings of the company. The information which reflects the intrinsic value of securities is transferred to the market, which causes the stock price to react to it, and improves the reaction coefficient of the future earnings of the market significantly, thus improving the pricing efficiency of the market. In this paper, the pricing efficiency of China's securities market is tested by using the coefficient of future earnings reaction, and the influence of institutional investors and securities analysts on the market pricing efficiency is analyzed emphatically. The study of this problem will also help ordinary investors to understand the behavior of institutional investors and securities analysts, and also provide a decision-making reference for the relevant regulatory authorities to regulate and guide the investment behavior of China's securities market and improve the efficiency of the market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51
本文编号：2258923
[Abstract]:In the capital market, the efficiency of resource allocation depends on the market pricing ability to a great extent, that is, whether there is an efficient price discovery mechanism. The formation of efficient price discovery mechanism depends on the existence of developed information intermediaries and relatively mature investment groups. As a relatively mature investor, institutional investors have obvious advantages in scale, information and knowledge, and are the investment vane 渭 of ordinary investors in the market. As a professional analyst in the securities market, the profit forecast and investment advice issued by securities analysts are undoubtedly the most important source of information for investors. However, some negative effects on the development of institutional investors and securities analysts have caused some controversy about their role in the securities market, and there are also doubts about whether they can guide investors to invest rationally. The key to evaluate the value of securities and to make investment decisions is to accurately interpret the earnings ability of enterprises in the future. Therefore, most of the scholars' research focuses on the accuracy of earnings prediction of institutional investors or securities analysts. On the other hand, from the perspective of information transmitters, this paper analyzes the influence of institutional investors and securities analysts on market pricing efficiency by using the future earnings response coefficient, which is a measure of market efficiency in the international frontier. The results show that because of the obvious advantages of information collection and processing and professional analysts, institutional investors and securities analysts can accurately grasp the future earnings of the company. The information which reflects the intrinsic value of securities is transferred to the market, which causes the stock price to react to it, and improves the reaction coefficient of the future earnings of the market significantly, thus improving the pricing efficiency of the market. In this paper, the pricing efficiency of China's securities market is tested by using the coefficient of future earnings reaction, and the influence of institutional investors and securities analysts on the market pricing efficiency is analyzed emphatically. The study of this problem will also help ordinary investors to understand the behavior of institutional investors and securities analysts, and also provide a decision-making reference for the relevant regulatory authorities to regulate and guide the investment behavior of China's securities market and improve the efficiency of the market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51
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本文编号：2258923
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