本文關(guān)鍵詞：證券分析師過(guò)度自信問(wèn)題研究　出處：《浙江大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：證券分析師一直以來(lái)被認(rèn)為是資本市場(chǎng)中的信息中介,擔(dān)當(dāng)著投資者與上市公司之間信息溝通的橋梁。他們綜合宏觀經(jīng)濟(jì)運(yùn)行狀況、行業(yè)發(fā)展趨勢(shì),以及企業(yè)的經(jīng)營(yíng)狀況和發(fā)展?jié)摿?對(duì)企業(yè)未來(lái)的盈利狀況進(jìn)行預(yù)測(cè)。他們的研究報(bào)告是投資者進(jìn)行投資決策的重要依據(jù)。但是,學(xué)術(shù)界逐漸發(fā)現(xiàn),證券分析師在進(jìn)行盈余預(yù)測(cè)時(shí)并不完全“中性”,來(lái)自分析師所在券商、被分析公司管理層和分析師自身的各種因素都會(huì)影響分析師行為,進(jìn)而扭曲分析師作出的盈余預(yù)測(cè)。 過(guò)度自信認(rèn)知偏差是證券分析師行為扭曲的原因之一。本文以2001-2010年間美國(guó)證券市場(chǎng)中分析師盈利預(yù)測(cè)的季度數(shù)據(jù)為研究對(duì)象,通過(guò)理清認(rèn)知偏差對(duì)分析師預(yù)測(cè)行為的動(dòng)態(tài)影響機(jī)制,對(duì)證券分析師過(guò)度自信問(wèn)題做了實(shí)證研究。本文探討的兩個(gè)主要問(wèn)題是：第一,證券分析師在對(duì)上市公司進(jìn)行盈余預(yù)測(cè)時(shí),是否存在過(guò)度自信心理偏差?第二,如果存在的話,什么因素可能會(huì)對(duì)分析師過(guò)度自信的程度產(chǎn)生影響? 在Hilary和Menzly(2006)模型的基礎(chǔ)上,本文首先對(duì)證券分析師過(guò)度自信認(rèn)知偏差的存在性進(jìn)行檢驗(yàn)。結(jié)果表明,分析師在經(jīng)歷一系列成功預(yù)測(cè)后,在接下來(lái)的預(yù)測(cè)中,雖然其預(yù)測(cè)偏離市場(chǎng)共識(shí)的程度沒(méi)有明顯增加,但預(yù)測(cè)的實(shí)際誤差顯著增大。過(guò)度自信理論在一定程度上得到了實(shí)證的支持。 其次,從金融危機(jī)的視角,本文進(jìn)一步探究宏觀的信息、決策環(huán)境對(duì)分析師過(guò)度自信認(rèn)知偏差的影響。結(jié)果表明,在金融危機(jī)的沖擊下,分析師過(guò)去的成功預(yù)測(cè)經(jīng)歷與其當(dāng)前預(yù)測(cè)中實(shí)際誤差之間的關(guān)聯(lián)度顯著增強(qiáng)。在經(jīng)歷一系列成功預(yù)測(cè)后,分析師過(guò)度自信的認(rèn)知偏差依然存在,且程度較危機(jī)前進(jìn)一步加重。 最后,考慮到證券分析師過(guò)度自信的認(rèn)知偏差可能受其預(yù)測(cè)行為連續(xù)性的影響,同時(shí)為了保證實(shí)證結(jié)果的可靠性,本文對(duì)上述研究結(jié)果做了穩(wěn)健性檢驗(yàn)。檢驗(yàn)結(jié)果證實(shí)了之前的發(fā)現(xiàn)。
[Abstract]:Securities analysts have been regarded as information intermediaries in the capital market , acting as a bridge between investors and listed companies . Their research report is an important basis for investors to make investment decisions . Based on the quarterly data of analyst ' s earnings forecast in the US security market from 2001 to 2010 , this paper studies the dynamic influence mechanism of the analyst ' s forecast behavior in the US stock market in 2001 - 2010 . The two main problems are as follows : First , when the securities analyst estimates the earnings forecast of the listed company , there is a psychological deviation of overconfidence ? Secondly , if any , what factors may affect the degree of overconfidence of the analyst ? On the basis of Hilary and Menzly ( 2006 ) models , this paper first examines the existence of excessive self - confidence cognitive biases in securities analysts . The results show that , after a series of successful predictions , analysts have seen a significant increase in the forecast deviation from the market consensus , but the actual error of the prediction is significantly increased . The overconfidence theory has been supported to some extent . Secondly , from the perspective of financial crisis , this paper further explores the impact of macro - information and decision - making environment on analysts ' overconfidence . The results show that , under the impact of the financial crisis , the correlation between analysts ' past success forecast experiences and actual errors in the current forecast is significantly enhanced . After a series of successful predictions , the cognitive bias of analysts ' overconfidence still exists , and the degree is further aggravated before the crisis . Finally , taking into consideration that the perceived deviation of the overconfidence of the securities analyst is likely to be influenced by the continuity of the predicted behavior , and in order to ensure the reliability of the empirical results , this paper makes a steady test on the above research results . The results of the test confirm the previous findings .

【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F837.12;F224

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本文編號(hào)：1412725