本文選題：分析師 + 領(lǐng)先-跟隨��； 參考：《西南交通大學(xué)》2012年碩士論文

【摘要】：分析師通過收集、評(píng)估、分析公共和私人信息,為投資者提供盈余預(yù)測(cè)與投資建議,在改善市場(chǎng)效率中發(fā)揮著重要的信息中介作用。但普遍存在的分析師羊群行為使其預(yù)測(cè)與建議的客觀性受到質(zhì)疑,分析師作為信息中介的有效性變得異常復(fù)雜。誰是信息領(lǐng)先者是研究分析師羊群行為的基礎(chǔ)問題,因?yàn)樾畔㈩I(lǐng)先者不但對(duì)市場(chǎng)產(chǎn)生重要影響,對(duì)其他分析師預(yù)測(cè)也具引導(dǎo)作用。由于信息的時(shí)效性特征以及時(shí)間先后關(guān)系是構(gòu)成信息內(nèi)容上領(lǐng)導(dǎo)與從眾關(guān)系的必要條件,由預(yù)測(cè)報(bào)告的先后發(fā)布時(shí)間而形成的領(lǐng)先-跟隨關(guān)系受到學(xué)界的廣泛重視,研究分析師領(lǐng)先—跟隨行為對(duì)理解分析師信息效率和“羊群行為”進(jìn)而加深對(duì)金融市場(chǎng)行為的理解具有重要的學(xué)術(shù)價(jià)值和應(yīng)用價(jià)值。目前,關(guān)于分析師領(lǐng)先-跟隨發(fā)布的實(shí)證研究尚較缺乏,但分析師預(yù)測(cè)發(fā)布時(shí)間決策的內(nèi)生性疑問凸顯了實(shí)證研究的重要性,一方面需要更多豐富的實(shí)證證據(jù)支持內(nèi)生性觀點(diǎn),另一方面內(nèi)生性也意味著不同的市場(chǎng)信息環(huán)境、競(jìng)爭(zhēng)差異以及價(jià)值判斷特征都將影響領(lǐng)先-跟隨發(fā)布決策行為,使得立足于不同具體市場(chǎng)的實(shí)證分析成為認(rèn)識(shí)特定市場(chǎng)的重要途徑。特別是對(duì)于包括中國在內(nèi)的新興資本市場(chǎng)中,信息披露環(huán)境與成熟市場(chǎng)存在顯著差異,而這種市場(chǎng)環(huán)境差異對(duì)于分析師領(lǐng)先-跟隨行為的影響是西方學(xué)者所忽視的,因此基于中國市場(chǎng)的研究即可豐富該問題的實(shí)證證據(jù),也是深入認(rèn)識(shí)中國證券市場(chǎng)不可或缺的關(guān)鍵環(huán)節(jié)。 基于此,本文利用中國A股分析師報(bào)告數(shù)據(jù),實(shí)證考察分析師特性、所屬機(jī)構(gòu)和競(jìng)爭(zhēng)環(huán)境對(duì)分析師預(yù)測(cè)發(fā)布領(lǐng)先-跟隨行為的影響。結(jié)果表明分析師特性及所屬機(jī)構(gòu)對(duì)發(fā)布領(lǐng)先度具顯著影響。在跟進(jìn)股票具有更長研究經(jīng)歷、更高的歷史領(lǐng)先度、具有更長一般研究經(jīng)歷以及所屬機(jī)構(gòu)年度發(fā)布報(bào)告數(shù)越多的分析師,其發(fā)布領(lǐng)先度更大；而具有明星榮譽(yù)、其它股票上更高歷史領(lǐng)先度的分析師,其發(fā)布領(lǐng)先度更��；分析師跟進(jìn)股票的數(shù)量具有對(duì)發(fā)布領(lǐng)先度的間接正向溢出效應(yīng)影響。競(jìng)爭(zhēng)環(huán)境對(duì)發(fā)布領(lǐng)先度也具顯著影響。目標(biāo)股票跟進(jìn)分析師數(shù)越多,發(fā)布領(lǐng)先度越大;評(píng)級(jí)標(biāo)準(zhǔn)差代表的信息差異則同時(shí)具有對(duì)發(fā)布領(lǐng)先度負(fù)向風(fēng)險(xiǎn)效應(yīng)和正向機(jī)會(huì)效應(yīng)的影響。進(jìn)一步分行業(yè)的回歸結(jié)果表明,在不同行業(yè)下分析師領(lǐng)先發(fā)布行為的影響因素存在差異,因此,要在區(qū)分行業(yè)背景下正確認(rèn)識(shí)分析師領(lǐng)先發(fā)布行為的影響因素。
[Abstract]:By collecting, evaluating, analyzing public and private information and providing investors with earnings forecasts and investment advice, analysts play an important information intermediary role in improving market efficiency. However, the objectivity of prediction and advice is questioned by the widespread herding behavior of analysts, and the effectiveness of analysts as an information intermediary becomes extremely complex. Who is the information leader is the fundamental question in studying the herding behavior of the analyst, because the information leader not only has an important influence on the market, but also guides the forecast of other analysts. As the timeliness of information and the relationship between time and order are the necessary conditions for the relationship between leadership and conformity in information content, the leader-follower relationship, which is formed by forecasting the time of release of reports successively, has received extensive attention in academic circles. The study of analyst leader-follower behavior is of great academic and practical value in understanding the information efficiency and herding behavior of analysts and thus deepening the understanding of financial market behavior. At present, there is still a lack of empirical research on analyst leader-follow-release, but the endogenous question of analyst's decision of forecasting release time highlights the importance of empirical research. On the one hand, more abundant empirical evidence is needed to support the endogenetic point of view. On the other hand, endogenicity also means that different market information environments, competitive differences and value judgment characteristics will affect leadership-following the decision making behavior, It makes empirical analysis based on different specific markets an important way to understand specific markets. Especially in emerging capital markets, including China, there is a significant difference between the information disclosure environment and the mature market, and the impact of this market environment difference on the leader-follower behavior is ignored by Western scholars. Therefore, the research based on the Chinese market can enrich the empirical evidence of this problem, and it is also an indispensable key link to deeply understand the Chinese securities market. Based on this, this paper makes use of the Chinese A-share analyst report data to empirically investigate the influence of analyst characteristics, institutions and competitive environment on the leader-follower behavior of analysts' forecast release. The results show that the characteristics of analysts and their agencies have a significant impact on the release lead. Analysts who have longer research experience, higher historical lead, longer general research experience and more annual reports from their agencies have greater lead in following stocks, and have celebrity honors. Analysts with a higher historical lead in other stocks had a smaller lead; the number of stocks followed had an indirect positive spillover effect on the lead. The competitive environment also has a significant impact on the release lead. The more analysts follow the target stocks, the bigger the release lead; the difference of information represented by the standard deviation of rating has both negative risk effect and positive opportunity effect. The regression results show that there are differences in the influencing factors of analysts' leading release behavior in different industries. Therefore, we should correctly understand the influencing factors of analysts' leading release behavior in the context of industry differentiation.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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