本文選題：明星分析師 + 薦股評(píng)級(jí)　； 參考：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：國(guó)內(nèi)《新財(cái)富》雜志借鑒美國(guó)《機(jī)構(gòu)投資者》雜志的做法,每年推出由機(jī)構(gòu)投資者投票評(píng)選的中國(guó)內(nèi)地資本市場(chǎng)“最佳分析師”。目前,該評(píng)選活動(dòng)已經(jīng)成為國(guó)內(nèi)證券分析師行業(yè)中最具權(quán)威性的評(píng)選活動(dòng)和賣方分析師行業(yè)一項(xiàng)重要的外部激勵(lì)機(jī)制。在評(píng)選中獲獎(jiǎng)的分析師通常被稱為“明星分析師”。隨著評(píng)選活動(dòng)影響力的日益擴(kuò)大,“明星分析師”的觀點(diǎn)對(duì)市場(chǎng)內(nèi)數(shù)千億機(jī)構(gòu)投資者的資金流向產(chǎn)生了重大影響,與此同時(shí)該機(jī)制的有效性也受到了市場(chǎng)極大的關(guān)注與質(zhì)疑。那么到底《新財(cái)富》每年評(píng)選出的最佳分析師相對(duì)于其他分析師而言是否具有過(guò)人之處?本文嘗試從分析師所發(fā)布信息質(zhì)量的角度進(jìn)行研究,對(duì)比明星分析師與非明星分析師薦股評(píng)級(jí)的投資價(jià)值與盈利預(yù)測(cè)的精準(zhǔn)度,從而來(lái)探討該激勵(lì)機(jī)制是否有效。 在國(guó)外,已經(jīng)有學(xué)者研究證實(shí)分析師的排名與其信息績(jī)效呈現(xiàn)顯著的正相關(guān)關(guān)系。那么,明星分析師的能力是否真的強(qiáng)過(guò)非明星分析師呢?對(duì)于這個(gè)問(wèn)題,國(guó)外學(xué)者已經(jīng)有了一定程度的探究。由于從前國(guó)內(nèi)證券分析師薦股評(píng)級(jí)的相關(guān)數(shù)據(jù)十分有限,也并未形成相對(duì)成熟的專業(yè)化證券分析師團(tuán)隊(duì),所以始終沒(méi)有很好的開(kāi)展此領(lǐng)域的探索。 2000年以來(lái),國(guó)內(nèi)證券市場(chǎng)不斷完善并與國(guó)外接軌,并且職業(yè)化證券分析師隊(duì)伍不斷擴(kuò)張,其影響力也隨其產(chǎn)出的分析報(bào)告不斷增加。文章參考了Womack (1996)、Barber(2009)的研究方法,搜集了A股市場(chǎng)來(lái)自147家金融機(jī)構(gòu)超過(guò)170000余條分析師的推薦評(píng)級(jí)數(shù)據(jù),以及《新財(cái)富》歷屆評(píng)選出的來(lái)自42家金融機(jī)構(gòu)覆蓋于31個(gè)行業(yè)領(lǐng)域的超過(guò)360位最佳分析師的數(shù)據(jù)為樣本,通過(guò)事件研究、回歸分析的方法進(jìn)行深入的實(shí)證研究。 本文研究發(fā)現(xiàn)明星分析師買入的薦股評(píng)級(jí)它們的投資價(jià)值都要顯著的高于非明星分析師和總體樣本的薦股評(píng)級(jí)投資價(jià)值,對(duì)于買入推薦評(píng)級(jí)的利用也存在一個(gè)賣出的最佳時(shí)機(jī)。研究同時(shí)表明,對(duì)于證券分析師所發(fā)布的推薦評(píng)級(jí)的信息可能存在提前泄露的現(xiàn)象,從實(shí)證的結(jié)果可以看出,如果超額收益率的出現(xiàn)主要是由于分析師評(píng)級(jí)信息提前泄露導(dǎo)致的,那么明星分析師信息泄露的情況相對(duì)于非明星分析師來(lái)說(shuō)較為嚴(yán)重。由于樣本的局限以及國(guó)內(nèi)賣空機(jī)制的缺乏,本文簡(jiǎn)要的研究了一下不同類型分析師賣出評(píng)級(jí)的投資價(jià)值,研究結(jié)果顯示,無(wú)論是在Capm模型還是在Fama-French模型下明星分析師賣出評(píng)級(jí)的投資價(jià)值都要顯著的高于非明星分析師。僅憑薦股評(píng)級(jí)超額收益率這一點(diǎn)本文還不能推斷出明星分析師的能力要顯著強(qiáng)于非明星分析師,因?yàn)槊餍欠治鰩煶~收益率的出現(xiàn)也可以被解釋為是由于分析師獲得明星的頭銜而受到市場(chǎng)盲目地追捧導(dǎo)致的而并非其本身的專業(yè)能力所創(chuàng)造的,所以本文繼續(xù)從信息質(zhì)量的另一個(gè)角度——盈利預(yù)測(cè)的精準(zhǔn)度,來(lái)研究“明星分析師”的能力相對(duì)于“非明星分析師”是否具有過(guò)人之處。本文利用2005年-2012年分析師盈利預(yù)測(cè)的數(shù)據(jù),將明星分析師與非明星分析師盈利預(yù)測(cè)的精度進(jìn)行了對(duì)比分析。實(shí)證結(jié)果表明,明星分析師盈利預(yù)測(cè)的精準(zhǔn)度也要顯著的高于非明星分析師�？傮w而言《新財(cái)富》最佳分析師的信息發(fā)布質(zhì)量要高于其他分析師,在一定程度上投資者可以更多的信賴于明星分析師所發(fā)布的信息。 討論上述問(wèn)題不論是對(duì)投資者還是學(xué)術(shù)界均有益利。從學(xué)術(shù)界角度來(lái)看,通過(guò)盈利預(yù)測(cè)精度和薦股評(píng)級(jí)投資價(jià)值來(lái)論證“明星分析師”在市場(chǎng)預(yù)測(cè)的能力上相對(duì)于“非明星分析師”是否具有過(guò)人之處,可從另一視角為長(zhǎng)期以來(lái)行為金融學(xué)和有效市場(chǎng)假說(shuō)間的爭(zhēng)辯增添新的證據(jù)。將分析師進(jìn)行分類對(duì)比地看待證券分析師的薦股評(píng)級(jí),利用Capm模型和Fama-french三因子模型計(jì)算超額收益并且比較每個(gè)年度明星分析師與非明星分析師盈利精度的高低,能夠說(shuō)相對(duì)系統(tǒng)的對(duì)證券分析師預(yù)測(cè)能力在類型差異上進(jìn)行比對(duì),具有一定的參考價(jià)值。而對(duì)投資者而言,全文之探索一定程度上能回答投資者對(duì)于《新財(cái)富》評(píng)選的疑問(wèn),幫助投資者更準(zhǔn)確地利用分析師所發(fā)布的信息。
[Abstract]:The Chinese mainland capital market "best analyst", which is selected by institutional investors, has become one of the most authoritative external investors in the domestic securities analysts industry. Incentive mechanisms. The winning analysts in the selection are often called "star analysts". With the increasing influence of the election campaign, the view of "star analysts" has a significant impact on the flow of hundreds of billions of institutional investors in the market, while the effectiveness of the mechanism has also been greatly concerned and qualitative in the market. This article tries to study the quality of the information released by the analyst and compare the accuracy of the investment value and earnings forecast of the star analyst and non star analyst's recommendation rating. Whether the incentive mechanism is effective.
In foreign countries, some scholars have confirmed that the ranking of analysts has a significant positive correlation with their information performance. Then, is star analyst's ability really stronger than non star analysts? For this problem, foreign scholars have already made a certain degree of inquiry. It is very limited and has not formed a relatively mature professional securities analyst team, so it has not been well explored in this field.
Since 2000, the domestic securities market has been constantly improved and integrated with foreign countries, and the team of professional securities analysts has been expanding, and its influence also increases with its output analysis. The article refers to the research methods of Womack (1996), Barber (2009), and the collection of more than 170000 analysts from 147 financial institutions in the A stock market. The data of the recommended rating, as well as the data of more than 360 best analysts from 42 financial institutions in 31 sectors, selected by the new fortune, are studied in depth through the method of event research and regression analysis.
The study found that the recommendation rating of star analysts was significantly higher than the recommended rating investment value of the non star analysts and the overall sample. The best time for the use of the buy recommendation rating was also the best time to sell. If the rate of excess returns is mainly due to the early disclosure of analysts' rating information, the information disclosure of star analysts is more serious than that of non star analysts. The limitations of the sample and the lack of domestic short selling mechanisms are the result of the empirical results. This paper gives a brief study of the investment value of different types of analysts' selling ratings. The results show that the investment value of the sales rating of star analysts in both the Capm model and the Fama-French model is significantly higher than that of the non star analysts. Star analysts' abilities are significantly stronger than non star analysts, because the emergence of star analysts' excess returns can also be interpreted as being created by the market's blind pursuit of the star's title rather than the professional ability of its own, and this article continues from another angle of information quality. The accuracy of earnings forecasts to determine whether the ability of "star analysts" is superior to "non star analysts". This paper compares the accuracy of earnings forecasts between star analysts and non star analysts by using the data of analysts' earnings forecast in 2005 in -2012. The empirical results show that the star analysis is a star analysis. The accuracy of the earnings forecast is significantly higher than that of non star analysts. In general, the quality of "new fortune > best analysts" is higher than other analysts, and to a certain extent, investors can rely more on the information released by star analysts.
Discussing the above issues is beneficial to both the investor and the academic community. From the academic point of view, it is possible to demonstrate whether the "star analyst" has an advantage over the "non star analyst" in the market forecast ability through the accuracy of earnings forecast and the value of the recommendation rating investment. The debate between finance and the efficient market hypothesis adds new evidence. Analysts compare securities analysts' recommendation ratings, use the Capm model and the Fama-french three factor model to calculate excess returns and compare the earnings accuracy of each annual star analyst and non star analyst, which can be described as a relative system. It has a certain reference value to the comparison of the forecasting ability of securities analysts in the type difference. For the investors, the full text of the exploration can answer the question of the investor's evaluation of the new wealth to some extent and help the investors to make more accurate use of the information released by analysts.
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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