本文選題：證券分析師　切入點：穩(wěn)健性　出處：《西南財經(jīng)大學(xué)》2014年博士論文

【摘要】：在我國,證券分析師是一個新興職業(yè),其主要職責(zé)是收集和分析上市公司信息,對上市公司的盈利和投投資價值進行預(yù)測和判斷,以滿足投資者對上市公司價值相關(guān)信息的需求。可是,由于信息不對稱、證券分析師面臨利益沖突等因素的影響,市場存在各種摩擦,使得證券分析師與投資者之間的目標(biāo)并不一致,導(dǎo)致證券分析師發(fā)布的盈余預(yù)測報告存在系統(tǒng)性的樂觀傾向,從而在一定程度上誤導(dǎo)了投資者,扭曲了市場價格。從2001年起,國內(nèi)券商研究所掀起了以國際領(lǐng)先投資銀行和經(jīng)紀(jì)券商分析師報告為標(biāo)準(zhǔn)、以基本分析為主導(dǎo)的分析師行業(yè)轉(zhuǎn)型的浪潮,國內(nèi)券商的研究所從成本中心向利潤中心轉(zhuǎn)型,服務(wù)模式也開始從對內(nèi)服務(wù)轉(zhuǎn)向為對投資者服務(wù)的模式,盈利模式也確立為“研究換分倉傭金”的模式,這些變化更是加劇了證券分析師獨立性喪失的情況。最終在近年連續(xù)爆出多起負面新聞,證券分析師行業(yè)的道德也受到廣泛質(zhì)疑。 盡管證券分析師盈余預(yù)測存在普遍的樂觀傾向,但是證券分析師盈余預(yù)測的準(zhǔn)確性仍然高于時間序列統(tǒng)計模型的預(yù)測,這就啟發(fā)本文從市場機制的角度重新審視證券分析師行業(yè)。證券分析師固然面對巨大的利益沖突,但證券分析師同樣受到市場的正面激勵,如良好聲譽帶來的個人收益的提高。正是這兩種不同方向的力量同時作用于證券分析師,使得一部分證券分析師的盈余預(yù)測具有穩(wěn)健的傾向,而另一部分證券分析師的盈余預(yù)測具有過度樂觀的傾向。而具有穩(wěn)健傾向的證券分析師,構(gòu)成了證券分析師行業(yè)的自律機制,保證了證券分析師信息中介功能和治理功能的發(fā)揮。 基于這些背景,本文將對具有穩(wěn)健傾向的證券分析師及其經(jīng)濟后果展開研究。具體來說,本文首先研究如何定義證券分析師盈余預(yù)測的穩(wěn)健傾向；接著,本文研究具有穩(wěn)健傾向的證券分析師的動機；然后,就具有穩(wěn)健傾向的證券分析師在中介作用上的表現(xiàn)進行研究,將從穩(wěn)健傾向證券分析師盈余預(yù)測修正的市場反應(yīng)、盈余預(yù)測準(zhǔn)確性以及盈余預(yù)測準(zhǔn)確性差異的原因等角度展開論述；最后,本文研究具有穩(wěn)健傾向的證券分析師的治理功能,檢驗具有穩(wěn)健傾向的證券分析師是否具有外部治理作用。 本文綜合運用規(guī)范分析和實證分析的方法,就證券分析師盈余預(yù)測傾向的劃分方法及其動機、穩(wěn)健傾向?qū)ψC券分析師中介功能和治理功能的影響進行了研究,其中,實證分析方法除了使用最小二乘法,還結(jié)合使用了Logit回歸、Probit回歸以及為減小內(nèi)生性問題影響而使用的兩階段最小二乘法。 本文在內(nèi)容結(jié)構(gòu)上共分為七大部分： 第一部分,導(dǎo)論。該部分主要介紹本研究的研究背景、研究目的、研究的理論意義和現(xiàn)實意義、研究使用的方法；然后,利用研究思路圖和論文的結(jié)構(gòu)安排,就本研究的基本思路進行介紹；最后,對本研究可能產(chǎn)生的創(chuàng)新進行介紹。 第二部分,文獻綜述。首先,是有關(guān)證券分析師資本市場中介作用的文獻回顧,包括證券分析師盈余預(yù)測準(zhǔn)確性、盈余預(yù)測的信息含量、證券分析師特征、證券分析師跟蹤的效果等。其次,是有關(guān)證券分析師樂觀傾向及其成因方面的文獻回顧。接著,是有關(guān)證券分析師治理作用方面的文獻回顧。最后,是文獻評述,在總結(jié)本部分回顧的已有研究的特點的基礎(chǔ)上,分析及提出了證券分析師相關(guān)領(lǐng)域存在的研究機會。 第三部分,行業(yè)背景與理論分析。該部分首先就證券分析師的分類和證券分析師的工作內(nèi)容進行了介紹。然后,該部分著眼于構(gòu)建證券分析師盈余預(yù)測傾向的理論研究框架：從證券分析師不同盈余預(yù)測傾向的形成機理展開論述,通過代理理論和聲譽理論,分析了不同證券分析師預(yù)測傾向的成因；然后從證券分析師的中介功能的角度,結(jié)合有效市場假說、市場微觀結(jié)構(gòu)理論和治理理論,論述證券分析師盈余預(yù)測傾向?qū)ψC券分析師中介作用的影響；最后,從證券分析師的治理功能的角度,通過分析證券分析師在緩解逆向選擇問題和道德風(fēng)險問題上的作用,論述證券分析師盈余預(yù)測傾向?qū)ζ渲卫碜饔玫挠绊憽?第四部分,證券分析師盈余預(yù)測傾向的界定。該部分是全文實證分析的基礎(chǔ)。該部分首先就如何界定證券分析師盈余預(yù)測的穩(wěn)健傾向,進行了分析,將具有盈余預(yù)測穩(wěn)健傾向的證券分析師定義為：面對不利消息做出的反應(yīng)比面對有利消息時做出的反應(yīng)更強烈的證券分析師。通過使用Hugon和Muslu(2010)的模型,本研究可以通過使用客觀經(jīng)驗數(shù)據(jù),用數(shù)量分析的方法對證券分析師的盈余預(yù)測傾向進行區(qū)分。接著,該部分就穩(wěn)健傾向證券分析師的動機進行了研究,發(fā)現(xiàn)穩(wěn)健傾向的證券分析師更有可能供職于優(yōu)質(zhì)的證券公司,從而有利于穩(wěn)健傾向的證券分析師獲得更好的職業(yè)發(fā)展和更高的未來報酬,因此,本研究將具有穩(wěn)健傾向的證券分析師的動機,歸結(jié)為追求最大化個人利益。 第五部分,證券分析師盈余預(yù)測中介功能的分析。該部分研究盈余預(yù)測傾向?qū)ψC券分析師中介作用的影響。首先,該部分就資本市場對證券分析師盈余預(yù)測傾向的識別進行研究,發(fā)現(xiàn)資本市場對穩(wěn)健傾向的證券分析師做出的盈余預(yù)測修正的反應(yīng)更為強烈。其次,該部分就穩(wěn)健傾向證券分析師盈余預(yù)測的準(zhǔn)確性進行了研究,發(fā)現(xiàn)穩(wěn)健傾向證券分析師發(fā)布的盈余預(yù)測具有更高的準(zhǔn)確性。然后,本文就穩(wěn)健傾向證券分析師盈余預(yù)測準(zhǔn)確性進行了分析,通過研究上市公司企業(yè)社會責(zé)任信息與穩(wěn)健證券分析師盈余預(yù)測準(zhǔn)確性之間的關(guān)系,發(fā)現(xiàn)穩(wěn)健傾向證券師盈余預(yù)測的提高,是因為其信息渠道的拓寬,從而獲得了一定程度的信息優(yōu)勢。最后,該部分還就穩(wěn)健證券分析師傳遞增量信息的能力進行研究,發(fā)現(xiàn)穩(wěn)健傾向證券分析師的跟蹤,有助于市場將企業(yè)社會責(zé)任信息——這一非財務(wù)信息包含在公司的價值中。 第六部分,證券分析師盈余預(yù)測治理功能的分析。該部分研究盈余預(yù)測傾向?qū)ψC券分析師治理作用的影響。該部分首先發(fā)現(xiàn),穩(wěn)健傾向的證券分析師的跟蹤將有助于提高公司的價值。接著,該部分就穩(wěn)健傾向證券分析師的跟蹤是如何對公司價值起到促進作用的內(nèi)部機理進行了研究,研究從穩(wěn)健傾向證券分析師能否抑制公司管理層過度投資沖動的角度進行,發(fā)現(xiàn)穩(wěn)健傾向的證券分析師的跟蹤對公司管理層形成了壓力,迫使其放棄凈現(xiàn)值為負的投資項目,從而支持了穩(wěn)健傾向證券分析師具有治理作用的觀點。 第七部分,研究結(jié)論與研究展望。該部分首先總結(jié)本研究在之前章節(jié)取得的研究成果,接著分析本研究存在的不足之處,最后提出本研究進一步研究的方向。 本文的主要研究結(jié)論為： (1)在對證券分析師盈余預(yù)測傾向進行界定之后,本文對證券分析師穩(wěn)健傾向的動機進行了分析。研究結(jié)果表明,穩(wěn)健證券分析師的動機是出于最大化個人利益的考慮。相比過于樂觀的證券分析師,穩(wěn)健傾向的證券分析師更可能就職于優(yōu)質(zhì)券商,從而獲得更好的職業(yè)發(fā)展機會,在長期來看,能夠獲得更穩(wěn)定、更豐厚的報酬。 (2)在中介功能方面,具有穩(wěn)健傾向的證券分析師出于維護自身聲譽的考慮,會對“壞消息”做出更強烈的反應(yīng),從而避免發(fā)布過于樂觀的盈余預(yù)測。在證券分析師盈余預(yù)測普遍樂觀的背景下,就使得穩(wěn)健傾向的證券分析師的盈余預(yù)測更客觀、更接近實際情況,因此,穩(wěn)健傾向證券分析師做出的盈余預(yù)測調(diào)整會引起更大的市場反應(yīng),盈余預(yù)測也更為準(zhǔn)確,能向市場傳遞更為有效的信息。此外,穩(wěn)健傾向的證券分析師也更注重對非財務(wù)信息的使用,他們會更多關(guān)注和分析目標(biāo)上市公司披露的企業(yè)社會責(zé)任信息,從中挖掘價值相關(guān)信息,有助于緩解企業(yè)社會責(zé)任信息的供需矛盾,增加資本市場對社會責(zé)任信息的認可。 (3)在治理功能方面,本文發(fā)現(xiàn),證券分析師對目標(biāo)上市公司的跟蹤關(guān)注,可以起到一定的外部監(jiān)督和治理作用,表現(xiàn)為證券分析師對上市公司的過度投資具有約束力。而穩(wěn)健傾向的證券分析師能夠在當(dāng)中起到更積極的作用,憑借其良好的個人聲譽,對上市公司的過度投資行為進行更有力的約束。 本文的創(chuàng)新點體現(xiàn)在如下幾個方面： 首先,在研究的內(nèi)容上,本文構(gòu)建了研究證券分析師盈余預(yù)測傾向經(jīng)濟后果的理論分析框架。這一理論框架從證券分析師盈余預(yù)測具有不同傾向的原因作為邏輯起點,通過代理問題分析了證券分析師的盈余預(yù)測樂觀傾向；聲譽理論分析了證券分析師盈余預(yù)測的穩(wěn)健傾向的動機。然后,通過市場微觀結(jié)構(gòu)理論和市場有效假說,對不同傾向的證券分析師所能發(fā)揮的中介功能進行了論述；最后,通過分析不同傾向證券分析師在緩解逆向選擇和道德風(fēng)險兩種代理問題上的治理功能進行了分析。 其次,在研究角度上,本文著重分析了證券分析師的穩(wěn)健傾向。不同于國內(nèi)研究把重心都放在證券分析師樂觀傾向和證券分析師利益沖突上,本文是對證券分析師的穩(wěn)健傾向進行了深入分析：先建立證券分析師盈余預(yù)測傾向的分類標(biāo)準(zhǔn),再對證券分析師不同盈余預(yù)測傾向的成因及其經(jīng)濟后果進行研究。因此,本文為構(gòu)建完整的證券分析師研究框架提供了新的思路,本文所采用的分類標(biāo)準(zhǔn)實為拋磚引玉,希望能引起更多學(xué)者對證券分析師行業(yè)進行更細致的劃分,以彌補現(xiàn)有研究框架的局限。 第三,在研究的具體操作層面上,本文對證券分析師信息來源進行了拓展。不同于已有研究更多地將證券分析師使用的信息局限在財務(wù)信息的做法,本文利用企業(yè)社會責(zé)任信息——這一非財務(wù)信息,對證券分析師的中介作用的發(fā)揮進行了探討。非財務(wù)信息和財務(wù)信息都是上市公司信息披露的組成部分,因此,包括證券分析師在內(nèi)的信息中介、投資者等,都應(yīng)給予足夠的關(guān)注,本文有關(guān)證券分析師如何使用非財務(wù)信息的研究,除了豐富證券分析師的相關(guān)研究之外,對上市公司非財務(wù)信息披露的實踐也具有一定的參考價值。
[Abstract]:In China , the securities analyst is a new profession , its main function is to collect and analyze the information of the listed company , forecast and judge the earnings and investment value of the listed company , so as to satisfy the investor ' s demand for the value - related information of the listed company .

The accuracy of earnings forecast of securities analysts is still higher than that of the time series statistical model , although the earnings forecast of securities analysts is still higher than that of the time series statistical model .

Based on these background , this paper studies the security analysts and their economic consequences . In particular , this paper first studies how to define the robust tendency of earnings forecasts of securities analysts .
Secondly , this paper deals with the motivation of securities analysts with robust tendency .
Then , the paper studies the performance of the securities analyst with the sound tendency in the intermediary function , and discusses the reasons of the market reaction , the surplus forecast accuracy and the difference of the surplus forecast accuracy from the surplus forecast of the steady - tendency securities analyst .
Finally , this paper studies the governance function of securities analysts with robust tendency , and checks whether the securities analysts with a sound tendency have external governance .

By using the method of normative analysis and empirical analysis , this paper studies the influence of the method of dividing the earnings forecast tendency of securities analysts and its motives and robustness on the intermediary function and governance function of securities analysts . The empirical analysis method combines the Logit regression , the Probit regression and the two - stage least square method used to reduce the impact of the intrinsic problem in addition to the least square method .

This paper is divided into seven parts on the content structure :

Part one , Introduction . This part mainly introduces the research background , research aim , theoretical significance and practical significance of the research , and the methods used in the study .
Then , using the research thinking map and the structure arrangement of the paper , the basic idea of this study is introduced ;
Finally , an introduction is made of the possible innovations in this study .

In the second part , the paper reviews the literature review on the intermediary role of the securities analyst ' s capital market , including the earnings forecast accuracy of the securities analyst , the information content of the earnings forecast , the characteristics of the securities analyst , the tracking effect of the securities analyst , etc . Secondly , it is the literature review on the securities analyst ' s optimistic tendency and its genesis . Finally , it is a review of the literature . On the basis of summarizing the characteristics of the existing research reviewed in this part , the paper analyzes and puts forward the research opportunities in the relevant field of securities analysts .

The third part , the background and the theoretical analysis of the industry . This part firstly introduces the classification of the securities analyst and the work content of the securities analyst . Then , this part looks at the theoretical research framework of the earnings forecast tendency of the securities analyst : from the analysis of the formation mechanism of the different earnings forecast tendency of the securities analyst , this part analyzes the causes of the forecasting tendency of different securities analysts through the theory of agency theory and reputation .
Then from the intermediary function of the securities analyst , combining the effective market hypothesis , the market microstructure theory and the governance theory , the paper discusses the influence of the earnings forecast tendency of the securities analyst on the intermediary function of the securities analyst ;
Finally , through analyzing the role of securities analysts in mitigating adverse selection and moral hazard from the perspective of the governance function of securities analysts , the paper discusses the influence of earnings forecast tendency on the governance of securities analysts .

The fourth part is the definition of earnings forecast tendency of securities analysts . The part is the basis of the empirical analysis of the whole text . The part firstly defines how to define the prudent tendency of the earnings forecast of the securities analyst . By using the model of Hugon and Muslu ( 2010 ) , this study can be used to distinguish the earnings forecast tendency of the securities analysts by using objective empirical data .

In the fifth part , the analysis of the securities analyst ' s surplus forecast intermediation function . The part studies the influence of surplus forecast tendency on the securities analyst ' s intermediary role . First , this part studies the earnings forecast accuracy of the securities analyst based on the capital market , and finds that the earnings forecast of the steady - tendency stock analyst is more accurate . Secondly , this part studies the earnings forecast accuracy of the steady - tendency stock analyst . Finally , this part researches on the ability of the robust securities analyst to transfer incremental information , and finds that the tracking of the steady - tendency stock analyst is helpful to the market to include the information of corporate social responsibility _ this non - financial information in the value of the company .

In the sixth part , the analysis of the earnings forecast governance function of the securities analyst . The part studies the influence of earnings forecast tendency on the governance of the securities analyst . The part firstly finds out that the tracking of the prudent securities analyst will help to improve the company ' s value .

The seventh part , the research conclusion and the research prospect . This part firstly summarizes the research results obtained in previous chapters , then analyzes the shortcomings of this study , and finally puts forward the direction of further research in this study .

The main conclusions of this paper are as follows :

( 1 ) After the definition of the earnings forecast tendency of securities analysts , this paper analyzes the motivation of the stability tendency of the securities analysts . The results show that the motivation of the stable securities analyst is to maximize the personal interests . Compared with the overly optimistic securities analysts , the prudent securities analysts are more likely to take office in the high - quality securities firms , thus obtaining better career development opportunities . In the long term , more stable and generous compensation can be obtained .

( 2 ) In the context of intermediary function , a securities analyst with a sound tendency can react more strongly to " bad news " for the sake of maintaining its own reputation , so that the surplus forecast of the securities analyst who is prudent tends to be more objective and close to the actual situation . In addition , the securities analysts who have a sound tendency will pay more attention to the use of non - financial information , and they will pay more attention to and analyze the corporate social responsibility information disclosed by the target listed companies , which can help to alleviate the supply and demand contradiction of the information of corporate social responsibility and increase the recognition of the information of the capital market for social responsibility information .

( 3 ) In terms of governance function , this paper finds that the stock analysts ' follow - up to the target listed companies can play a role in external supervision and governance , which is binding on the overinvestment of listed companies by securities analysts .

The innovation points of this paper are embodied in the following aspects :

First , on the content of the research , this paper constructs a theoretical analysis framework to study the economic consequences of earnings forecast of securities analysts . This theoretical framework analyzes the earnings forecast optimistic tendency of securities analysts by analyzing the reason of surplus forecasting of securities analysts as the starting point of logic .
Based on the theory of market microstructure and market hypothesis , the paper discusses the mediating function that the securities analysts can exert .
Finally , the paper analyzes the governance function of the two agents in mitigating adverse selection and moral hazard by analyzing different tendency stock analysts .

Secondly , in the angle of research , this paper focuses on the analysis of the securities analyst ' s robust tendency . In contrast to the domestic research , the paper focuses on the securities analyst ' s optimistic tendency and the stock analyst ' s interest conflict . This paper makes an in - depth analysis on the stability tendency of the securities analyst : firstly , establishing the classification standard of the earnings forecast tendency of the securities analyst , and then carrying out the research on the causes and the economic consequences of the different earnings forecast tendency of the securities analyst .

Third , on the concrete operational level of the research , this paper has expanded the information source of securities analysts . Unlike existing research , this paper discusses the intermediary role of securities analysts . Non - financial information and financial information are part of the information disclosure of listed companies . Therefore , information intermediaries , investors , etc . including securities analysts should pay enough attention . In addition to the relevant research of securities analysts , the practice of non - financial disclosure of listed companies has certain reference value .

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F830.42

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