本文關(guān)鍵詞：證券分析師盈利預(yù)測與市場盈利預(yù)期的實(shí)證研究　出處：《華東師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券分析師 盈利預(yù)測 市場盈利預(yù)期 時(shí)間序列模型

【摘要】：證券分析師是市場中重要的信息中介,我國分析師行業(yè)發(fā)展時(shí)間較短,早期曾飽受詬病,經(jīng)過多年的規(guī)范管理,逐漸走上了健康發(fā)展的道路,在這一背景下,本文選擇從投資者角度對分析師的價(jià)值進(jìn)行評價(jià)。具體地,本文對分析師主要工作之一的盈利預(yù)測進(jìn)行實(shí)證研究,考察證券分析師盈利預(yù)測精確性和代理市場盈利預(yù)期的能力,以及預(yù)測精確性與代理市場預(yù)期能力之間是否具有一致性;進(jìn)一步,本文還區(qū)分不同投資者類型對分析師預(yù)測進(jìn)行評價(jià)。研究證券分析師盈利預(yù)測代理市場預(yù)期,通常的方法是將分析師預(yù)測與其他常見的預(yù)測進(jìn)行比較分析,從而做出判斷。除了分析師預(yù)測,投資者能夠獲取的預(yù)測信息主要包括時(shí)間序列模型預(yù)測和管理層預(yù)測�？紤]到不同預(yù)測信息的影響范圍及數(shù)據(jù)的可得性,本文選取時(shí)間序列模型預(yù)測作為參照。本文實(shí)證結(jié)果顯示,首先,我國證券分析師盈利預(yù)測存在樂觀傾向,在精確性上優(yōu)于時(shí)間序列模型預(yù)測,印證了分析師預(yù)測存在信息優(yōu)勢的理論;其次,整體而言,我國證券分析師預(yù)測相比時(shí)間序列模型預(yù)測是更好的市場預(yù)期代理變量,從投資者角度肯定了證券分析師盈利預(yù)測的價(jià)值,也為資本成本等相關(guān)研究中選取分析師預(yù)測數(shù)據(jù)作為市場預(yù)期代理變量提供了實(shí)證基礎(chǔ);此外,進(jìn)一步的檢驗(yàn)還發(fā)現(xiàn),證券分析師盈利預(yù)測的精確性與其代理市場預(yù)期的能力并不一致,即投資者選擇預(yù)測信息時(shí)并非完全基于理性預(yù)期,投資者表現(xiàn)出的對分析師預(yù)測的認(rèn)可可能受到媒體宣傳、從眾心理等因素影響;最后,實(shí)證結(jié)果還顯示機(jī)構(gòu)持股比例的提高對分析師預(yù)測代理市場預(yù)期存在一定的負(fù)向作用,機(jī)構(gòu)相比個(gè)人投資者對分析師的依賴程度更低,這可能與機(jī)構(gòu)自身具有強(qiáng)大的投研團(tuán)隊(duì)有關(guān),同時(shí)我國證券市場散戶化程度高、機(jī)構(gòu)投資者交易行為散戶化傾向等特征也可能對這一結(jié)果有影響。最后,結(jié)合實(shí)證結(jié)果與我國股票市場、證券分析師行業(yè)發(fā)展現(xiàn)狀,本文對監(jiān)管方、證券分析師以及投資者提出相關(guān)建議,以完善我國證券分析師行業(yè),提高我國股票市場的有效性、規(guī)范性,以及更好的保護(hù)投資者的利益。
[Abstract]:Securities analyst is an important information intermediary in the market. The development of the analyst industry in China is relatively short and has been criticized in the early stage. After many years of standardized management, securities analyst has gradually embarked on the road of healthy development under this background. This paper chooses to evaluate the value of analysts from the perspective of investors. Specifically, this paper makes an empirical study on the earnings forecast, which is one of the main tasks of analysts. To investigate the accuracy of the forecast and the ability of the agency market to predict the profit, and whether there is consistency between the accuracy of the forecast and the ability of the agency market; Further, this paper also distinguishes the different types of investors to evaluate the analyst forecast. The usual method is to compare and analyze the analyst forecast with other common forecasts, so as to make the judgment. In addition to the analyst forecast. The prediction information that investors can obtain mainly includes time series model prediction and management prediction, considering the influence range of different prediction information and the availability of data. This paper selects the time series model as the reference. The empirical results show that, first of all, there is an optimistic trend in the forecast of China's securities analysts' earnings, which is more accurate than the time series model. It confirms the theory that analysts predict the existence of information superiority; Secondly, on the whole, compared with the time series model, China's securities analyst forecast is a better proxy variable of market expectation, which confirms the value of the securities analyst's profit forecast from the perspective of investors. It also provides the empirical basis for selecting the analyst forecast data as the market expectation proxy variable in the related research such as the cost of capital. In addition, the further test also found that the accuracy of the earnings forecast of securities analysts is not consistent with their ability to represent market expectations, that is, investors do not choose forecast information based entirely on rational expectations. Investors' recognition of analysts' forecasts may be affected by media publicity, crowd psychology and other factors; Finally, the empirical results also show that the increase of institutional shareholding ratio has a certain negative effect on the forecast of agency market expectations, and institutional investors are less dependent on analysts than individual investors. This may be related to the institution itself has a strong investment and research team, at the same time, the securities market in China has a high degree of retail, institutional investors trading behavior of retail tendency may also have an impact on this result. Finally. Combined with the empirical results and the current situation of China's stock market and securities analyst industry, this paper puts forward relevant suggestions to regulators, securities analysts and investors in order to improve the securities analyst industry in China. Improve the effectiveness of China's stock market, normative, and better protect the interests of investors.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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